Re: [Quantlib-users] Curves over Eonia

[sarpkacar]

Hi Nando,

 

Thanks for the answer. It worked, I could bootstrapp a Euribor over eonia curve.  

 

What about the stochastic modelling of basis spread, is there already an implementation or ongoing work or any plan to incorporate it?

 

Regards,

Kaya

  

 

On Wed, Aug 10, 2011 at 11:32 AM, Ferdinando Ametrano <[hidden email]> wrote:

Hi Kaya

> It seems that the iterative
> bootstrapping algorithm uses the same curve for forwards and discounting.

the iterative boostrapping algorithm bootstrap just one curve but
delegates to the bootstrap-helper how to use it. It's completely
feasible for the helper to use the curve being bootstrapped for
forwarding and a different curve for boostrapping. This is already
done, e.g. SawpRateHelper

On Mon, Aug 8, 2011 at 9:54 PM, sarpkacar <[hidden email]> wrote:
> I am interested in bootstrapping  tenor specific forward  curves over Eonia,
> matching the corresponding swap quotes in the market. Is it possible to do
> this in QL?

It is already done in QLXL, but it is not documented. You can
implement your own stuff or investigate what's available using
QuantLibXL.xla

> What I need is, for example  given Eonia discount curve, bootstrap a 3M
> forward curve to match  quoted 3M swap rates. Is it possible to separate in
> QL discount and forward curves?

yes it is, see also my slides on the issue (all the charts have been
done using QLXL implementation):
http://www.statpro.com/PDF/RateCurves-final.pdf

ciao -- Nando

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[Ferdinando M. Ametrano-3]

On Tue, Aug 16, 2011 at 11:23 AM, SK A <[hidden email]> wrote:
> What about the stochastic modelling of basis spread, is there already an
> implementation or ongoing work or any plan to incorporate it?

none I know of, and without basis swap vol quotes  it would be quite
hard to really use a similar model.
Besides I am not following literature on the subject, but I would be
highly skeptical of any model not preserving time homogeneity. If
there is a time homogeneous model for the basis term structure please
point me at it

ciao -- Nando

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