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Hi Quantlib Users,
I am pretty new to using the quantlib C++ classes and although I have
been getting familiar with the libraries I was having trouble
bootstrapping a swap curve. After looking at the swap example I was
able bootstrap the curve but I noticed that the piecewise flat forward
left me with an somewhat jagged curve, and although the rates were
mostly correct I had bad forward rates as a result from jumps in the
spot rate. Does the library have other fit methods that you guys can
suggest or will I have to write one myself?
Also when I tried to fit the curve with the EuroDollar Futures using
1M,3M,6M depostis 1-16EuroDollars 5yr,10yr,30yr I had issues with
incorrect spot rates. Although when I used 1M,3M,6M Deposit,
1Y,2Y,3Y,5Y,10Y,30Y swaps it worked fine. I coppied the swap example
almost exactly and the problem existed when I used the future rates
have other people noticed this problem? What sollutions can you
suggest? Did I possible make a mistake because I used the yield as
100-price instead of an add-on yield conversion.
I really appreciate any help you can give me,
Thanks,
Patrick
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