Yield Curve Modelling with quantlib

[muhammad panji]

Dear All,
I'm new member in this list. I know quantlib several weeks ago when I
search for yield curve modelling library on the internet. I haven't
read much docs of quantlib. May I ask can I do cubic spline, nelson
siegel and nelson siegel svensson modelling with quantlib. and are
there any easy place to start with quantlib? thanks a lot
regards,


--
Muhammad Panji
http://sumodirjo.wordpress.com

-------------------------------------------------------------------------
This SF.Net email is sponsored by the Moblin Your Move Developer's challenge
Build the coolest Linux based applications with Moblin SDK & win great prizes
Grand prize is a trip for two to an Open Source event anywhere in the world
http://moblin-contest.org/redirect.php?banner_id=100&url=/
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users

[Allen Kuo-2]

Hi Muhammad:

 

Nelson Siegel and cubic splines fitting are already coded, given a set of fixed rate bonds.

Look in the ql/termstructures/yield directory. If you want to code Nelson Siegel Svensson, you would add such a fitting in the file "nonlinearfittingmethods.cpp" in the aforementioned directory.

 

The Examples/FittedBondCurve directory shows how to use the classes. 

 

Best, Allen

 

--- On Mon, 9/15/08, muhammad panji <[hidden email]> wrote:

From: muhammad panji <[hidden email]>
Subject: [Quantlib-users] Yield Curve Modelling with quantlib
To: [hidden email]
Date: Monday, September 15, 2008, 4:30 AM

Dear All,
I'm new member in this list. I know quantlib several weeks ago when I
search for yield curve modelling library on the internet. I haven't
read much docs of quantlib. May I ask can I do cubic spline, nelson
siegel and nelson siegel svensson modelling with quantlib. and are
there any easy place to start with quantlib? thanks a lot
regards,


-- 
Muhammad Panji
http://sumodirjo.wordpress.com

-------------------------------------------------------------------------
This SF.Net email is sponsored by the Moblin Your Move Developer's
challenge
Build the coolest Linux based applications with Moblin SDK & win great
prizes
Grand prize is a trip for two to an Open Source event anywhere in the world
http://moblin-contest.org/redirect.php?banner_id=100&url=/
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users

-------------------------------------------------------------------------
This SF.Net email is sponsored by the Moblin Your Move Developer's challenge
Build the coolest Linux based applications with Moblin SDK & win great prizes
Grand prize is a trip for two to an Open Source event anywhere in the world
http://moblin-contest.org/redirect.php?banner_id=100&url=/
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users