Re: Quantlib/XL Enhancement to "FittedBondDiscountCurve" and simultaneously fitting "credit spread curves"

Posted by Anthony S on Jul 19, 2011; 9:18pm
URL: http://quantlib.414.s1.nabble.com/Adding-new-functions-to-blackcalculator-tp13518p13533.html

Hi Michael.

Did this bit of code ever get added to the trunk? If not, I'd certainly like to see it - I'm trying to imply an inflation index from inflation-linked gilts in QLXL, and the starting point would be a discount curve from normal gilts. And I'm new too :)

Anthony

Michael Waßmann wrote

Hi there,

I am using Quantlib for a bit, and I started to develop some enhancements
to the library.

As I am new to Quantlib development, I am not sure about the right
procedure to supply source code to QuantLib. How and with whom can/should
I discuss my solution? Is there anybody who can help me?

These are my topics:
1)
I developed a minor enhancement to QL, allowing to use
ZeroBonds in class "FittedBondDiscountCurve", furthermore I
added the complete "FittedBondDiscountCurve" functionality to
QuantlibAddin / XL, to be able to calculate the curve
fitting in XL.
I would like to provide these enhancement to the project or
someone who will review these changes to ensure that they
are conform to the coding styles from Quantlib.
Can you please let me know how to continue or whom to contact?

2)
Currently I am working on simultaneously fitting credit
spread curves based on coporate bonds with different ratings
as input.
In other words: I am simultaneously  fitting multiple sets of
bonds (Fixedratebonds and Zerobonds) for different ratings.
For each set of bonds I am calculating the spread on top of
a basis curve (e.g. Swapcurve) which will be simultaneously
fitted with a simplified Nelson-Siegel method. The fit is
done with constraints, so that the resulting curves have the expected
behaviour.
This functionality is completely available in XL (and QuantLibAddin) as well.
Might this be of interest for the QL-project? Please let me
know.

Kind regards

Michael






------------------------------------------------------------------------------
ThinkGeek and WIRED's GeekDad team up for the Ultimate
GeekDad Father's Day Giveaway. ONE MASSIVE PRIZE to the
lucky parental unit.  See the prize list and enter to win:
http://p.sf.net/sfu/thinkgeek-promo
_______________________________________________
QuantLib-dev mailing list
[e-mail]
https://lists.sourceforge.net/lists/listinfo/quantlib-dev