PiecewiseYieldCurve, YieldTermStructure

[gbogaert]

Dear all,

I would like to understand better how QuantLib calculates a zero curve
with the class PieceWiseYieldCurve etc. Could you please give me some
example of readings to understand the rationale behind?
I read the documentation written by M. Ballabio and I recently bought
the book written by M. Mercurio et al. but I am not sure that is enough.

Thank you in advance for your hints.

Have a nice week.

Regards,
Gilles Bogaert
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[gbogaert]

Dear QL users and developers,

Further question: When I create my ratehelper objects(deposit and
swaps), I give all the specifications concerning these rates. Then I
create the object PiecewiseYieldCurve giving this vector of ratehelper
objects in order to get the zero rates back at certain dates. I have not
found/understood yet where the bootstrapping is done. Where do you
calculate back the different yield from the ratehelpers and where it is
interpolated? Could you just tell me the name of the classes, I will
look at them afterwards and try to understand?

Thanks in advance for your help.

Gilles
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[Luigi Ballabio]

On Wed, 2009-08-05 at 10:01 +0200, Bogaert, Gilles wrote:
> Further question: When I create my ratehelper objects(deposit and
> swaps), I give all the specifications concerning these rates. Then I
> create the object PiecewiseYieldCurve giving this vector of ratehelper
> objects in order to get the zero rates back at certain dates. I have not
> found/understood yet where the bootstrapping is done. Where do you
> calculate back the different yield from the ratehelpers and where it is
> interpolated? Could you just tell me the name of the classes, I will
> look at them afterwards and try to understand?

The calculation is triggered by
PiecewiseYieldCurve::performCalculation(), that delegates it to the
bootstrapper. The latter is chosen by means of the last template
argument to PiecewiseYieldCurve and by default is the IterativeBootstrap
class. Its method calculate() does the bootstrap and sets the data
members of PiecewiseYieldCurve to the results. Depending on what you're
interpolating, they might be inherited from InterpolatedZeroCurve or
some other Interpolated...Curve class.

Luigi


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