Is there any example using Quantlib for mutli-curve bootstrapping?
Posted by
Hengli Zhang on
Apr 23, 2014; 3:30pm
URL: http://quantlib.414.s1.nabble.com/Is-there-any-example-using-Quantlib-for-mutli-curve-bootstrapping-tp15189.html
Hi All,
Just wondering anyone know any sample codes to run a multiple interest rate curve bootstrapping?
Ferdinando Ametrano and Marco Bianchetti mentioned in their paper
Bootstrapping the Illiquidity: Multiple Yield Curves Construction for Market Coherent Forward Rates Estimation
that they have implemented the algorithms within QuantLib framework.
So just wondering if anyone know any example of how to run this in QuantLib.
Thanks.
--
Sincerely yours
Hengli Zhang
MSFM, University Of Chicago
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