curve bootstrapping

[abdelak.adjriou]

Hi Luigi;

In the curve bootstrapping method , for each instrument , quantlib solves the following equation using newton optimistaion : the implied quote - the theoritical quote =0.0 by adjusting the discount factor.
This costs a lot, why don't we just solve    price of each instrument =0.0 ?

Because by calculating the theoritcal quote , it's easy when you have a swap, the implied quote (the swap rate) is a closed formula but if you have another instrument, sometimes it's quite difficult.

And We can't change the quoteError()  function in rateHelper because the method is public ?


Regards.



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[Toyin Akin]

Hi,

The whole point of the boot strapping methodology is not only to reprice the
given instruments correctly, but more importantly, to arrive at a set of
discount factors that we can use to price other instruments.

Discount factors are the basis for pricing and discounting most (non-option
type) instrument.

Unless I am missing something...

Regards,
Toyin Akin.

>From: [hidden email]
>To: [hidden email]
>CC: [hidden email]
>Subject: [Quantlib-users] curve bootstrapping
>Date: Fri, 10 Mar 2006 10:40:06 +0100
>
>
>Hi Luigi;
>
>In the curve bootstrapping method , for each instrument , quantlib solves
>the following equation using newton optimistaion : the implied quote - the
>theoritical quote =0.0 by adjusting the discount factor.
>This costs a lot, why don't we just solve    price of each instrument =0.0
>?
>
>Because by calculating the theoritcal quote , it's easy when you have a
>swap, the implied quote (the swap rate) is a closed formula but if you have
>another instrument, sometimes it's quite difficult.
>
>And We can't change the quoteError()  function in rateHelper because the
>method is public ?
>
>
>Regards.
>
>
>
>Les informations contenues dans ce message sont confidentielles et peuvent
>constituer des informations privilegiees. Si vous n etes pas le
>destinataire de ce message, il vous est interdit de le copier, de le faire
>suivre, de le divulguer ou d en utiliser tout ou partie. Si vous avez recu
>ce message par erreur, merci de le supprimer de votre systeme, ainsi que
>toutes ses copies, et d en avertir immediatement l expediteur par message
>de retour.
>Il est impossible de garantir que les communications par messagerie
>electronique arrivent en temps utile, sont securisees ou denuees de toute
>erreur ou virus. En consequence, l expediteur n accepte aucune
>responsabilite du fait des erreurs ou omissions qui pourraient en resulter.
>--- ----------------------------------------------------- ---
>The information contained in this e-mail is confidential. It may also be
>legally privileged. If you are not the addressee you may not copy, forward,
>disclose or use any part of it. If you have received this message in error,
>please delete it and all copies from your system and notify the sender
>immediately by return e-mail.
>E-mail communications cannot be guaranteed to be timely secure, error or
>virus-free. The sender does not accept liability for any errors or
>omissions which arise as a result.
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[Luigi Ballabio]

>> From: [hidden email]
>> To: [hidden email]
>> CC: [hidden email]
>> Subject: [Quantlib-users] curve bootstrapping
>> Date: Fri, 10 Mar 2006 10:40:06 +0100
>>
>> In the curve bootstrapping method , for each instrument , quantlib  
>> solves the following equation using newton optimistaion : the  
>> implied quote - the theoritical quote =0.0 by adjusting the discount  
>> factor.
>> This costs a lot, why don't we just solve    price of each  
>> instrument =0.0 ?

At the quoted rate, the price equals 0 only for swaps. Deposits,  
forwards and futures have positive prices. Therefore, price = 0 cannot  
be used as a generic condition for all instruments.

Cheers,
        Luigi


----------------------------------------

The Feynman Problem Solving Algorithm:
1) Write down the problem.
2) Think very hard.
3) Write down the solution.

[M L-3]

Hi There,

Does anyone know if quantlib compiles under the new visual c++ in visual
studio 2005? The new VS 2005 supports parallel computing using multiple
cores/processors. or does anyone know of any other platform that supports
it?

many thanks

Mike

[Ferdinando M. Ametrano-3]

Hi Mike

> Does anyone know if quantlib compiles under the new visual c++ in visual
> studio 2005?
yes it does. I've personally tested the new forthcoming release

> The new VS 2005 supports parallel computing using multiple
> cores/processors.

I don't know what you exactly means. Parallel computing was possible
even with olderMS compilers.

You might be refferring to the fact that Visual Studio 2005 can use
all processors available  in order to compile the source code, whichis
true.

ciao -- Nando