Posted by
Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/Curves-tp14920p14930.html
There are several pieces:
a) the curve implementation is in
<ql/termstructures/yield/piecewiseyieldcurve.hpp>.
b) the helpers used to bootstrap it on deposit, futures and swap rates
are in <ql/termstructures/yield/ratehelpers.hpp> and the corresponding
cpp;
c) the helper used to bootstrap it on OIS rates is in
<ql/termstructures/yield/oisratehelper.hpp> and the corresponding cpp.
There's a few examples of putting them together; one is the example
program in Examples/Swap/swapvaluation.cpp that bootstraps a curve
over deposits, futures and swaps and uses it to price a few swaps.
It's a bit dated, so it doesn't select the rates as explained in
Ametrano and Bianchetti, but you can try to change it so that it uses
the appropriate rates. Other examples of bootstrap are in the test
suite, especially test-suite/piecewiseyieldcurve.cpp and
test-suite/overnightindexedswap.cpp.
Hope this helps getting you started.
Luigi
On Wed, Jan 29, 2014 at 10:41 PM, Mbongo Nkounga Jeffrey Ted Johnattan
<
[hidden email]> wrote:
> Dear Luigi,
> Could you please give me the path to access the implementation in the latest
> release ?
> Thanks.
>
>
> Le Mercredi 29 janvier 2014 23h13, Kirill Shemyakin <
[hidden email]> a
> écrit :
> Hi Luigi!
> Btw, is there any curve building algorithm for illiquid bonds?
> Thanks!
> Cheers,
> Kirill
> Am 29.01.2014 20:41 schrieb "Luigi Ballabio" <
[hidden email]>:
>
> Hello,
> there's no need to get that particular revision. The
> implementation is still available in the latest release.
>
> Luigi
>
> On Wed, Jan 29, 2014 at 5:31 PM, Mbongo Nkounga Jeffrey Ted Johnattan
> <
[hidden email]> wrote:
>> Dear all,
>>
>> I am working on Curves, I would like to download and test the
>> implementation
>> done by FERDINANDO M. AMETRANO AND MARCO BIANCHETTI in their paper
>> ''BOOTSTRAPPING THE ILLIQUIDITY MULTIPLE YIELD CURVES CONSTRUCTION FOR
>> MARKET COHERENT FORWARD RATES ESTIMATION''
>>
>> The paper states that the code can be found at revision 15931 in the
>> QuantLib SVN repository. However, at the beginning of June 2013, the
>> QuantLib project migrated its code repository to Git and I don't know how
>> to
>> access it now.
>>
>> Please can you help me?
>>
>> Thanks in advance!
>>
>>
>> Regards,
>>
>> Jeffrey
>>
>>
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