New termstructure for bootstrap algorithm

Posted by jamal abid on May 30, 2006; 3:53am
URL: http://quantlib.414.s1.nabble.com/New-termstructure-for-bootstrap-algorithm-tp11137.html

Hi,

 

I am currently using Quantlib and would like to implement some new options with the "Term structure based on piecewise-constant flat forwards with libor-futures-swap bootstrapping algorithm". I would like to implement the same algorithm but with the so-called linear forward and quadratic forward algorithms. There is something that I still don't understand, the current implementation is called piecewise constant flat forward algorithm but where are these constant flat forward rates ? as far as I know in QL, a term strucure with loglinear interpolation is run along optimizing the reevaluation of each instrument till an accuracy is reached.

 

Thanks

 

the naif...

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