Yield Curve fitting with OIS/Libor, Stochastic vol/Stochastic rates

Posted by Theo Boafo on May 11, 2012; 1:51pm
URL: http://quantlib.414.s1.nabble.com/Commodities-Pricing-tp11658p11660.html

Hi Luigi,

 I am looking at piecewiseyieldcurve.cpp in testsuite, I have the following
questions:

 (a) what is BMA?
 (b) what does this code below do, RelinkableHandle<YieldTermStructure>
 curveHandle;curveHandle.linkTo(vars.termStructure);
 (c) Is there any code boostrapping OIS and Libor simultaneously, as that
 seems to be the way now for yieldcurve building and fitting and I want to
 understand how that works.

 (d) Is there any thing on hybrids eg. FX/IR ie PRDC or EQ/IR where rates is
 long-dated so using say Heston or Bates Stochastic vol model with Stochastic rates using Hull/White?

Regards

Theo

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