Re: Is there any example using Quantlib for mutli-curve bootstrapping?

Posted by John Orford on
URL: http://quantlib.414.s1.nabble.com/Is-there-any-example-using-Quantlib-for-mutli-curve-bootstrapping-tp15189p15191.html

Hengli,

The python bond examples included on Github might be of help.

John 

On 23 April 2014 23:30, Hengli Zhang <[hidden email]> wrote:

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

[hidden email]

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