QuantLib - Re: [Quantlib-users] solving n euqations with n unknowns

Re: [Quantlib-users] solving n euqations with n unknowns

Posted by Ashish Kulkarni-6 on Mar 30, 2005; 4:55am
URL: http://quantlib.414.s1.nabble.com/Re-Quantlib-users-solving-n-euqations-with-n-unknowns-tp10771p10772.html

hello Adjriou,

can't help you directly, but I'd suggest looking at these great articles:

The Art and Science of Curve Building
http://www.fincad.com/news/jun04/The%20Art%20of%20Curve%20Building.pdf

David Cox: Yield Curves and how to build them
http://tinyurl.com/7y5vb

Excel/VBA of McCulloch's model
http://tinyurl.com/5dpqz

Hope this helps,
ashish

------------------------------------------------------------------------
The great use of life is to spend it for something that will outlast it.
     -- William James

Adjriou Belak wrote:
> Hi Ashish,
> thanks for your answer,
>  
> I'm trying to solve non linear equations. Actually I want to find zero 
> rates  which fit bond Prices but I would like to smooth the curve by 
> making a cubic interpolation. So I can't bootstrap because the current 
> bond needs the next bond with a maturity higher than itself.
>  
> Thanks a lot.
> I would like to integrate Newton-raphson algorithm to quantlib.

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