Re: QuantLib-dev Digest, boostrapping multiple interest rate yield curves

Posted by Ferdinando M. Ametrano-3 on Jul 16, 2012; 4:55pm
URL: http://quantlib.414.s1.nabble.com/Re-QuantLib-dev-Digest-boostrapping-multiple-interest-rate-yield-curves-tp13495p13500.html

code example shouldn't teach finance... and a comment about the need to use ON discounting might be enough.

Maybe just bootstrap a discount curve with a single OISHelper...

On Mon, Jul 16, 2012 at 6:09 PM, Luigi Ballabio <[hidden email]> wrote:

On Mon, Jul 16, 2012 at 6:02 PM, Ferdinando Ametrano <[hidden email]> wrote:
> I would just add a fictitious flat discount curve in the existing
> bootstrapping example, passing it to the SwapRateHelpers. A realistic
> coherent dataset would get old anyway without adding to much to the
> example logic.

Except that it doesn't seem clear to many people how to get the discount curve.
A given dataset might get old, but it would at least show what
instruments to use and how.

Luigi

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