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

Posted by Hengli Zhang on Apr 24, 2014; 2:43am
URL: http://quantlib.414.s1.nabble.com/Is-there-any-example-using-Quantlib-for-mutli-curve-bootstrapping-tp15189p15192.html

Thanks John. This is very helpful. Although it's still single-curve bootstrapping, I may be able to figure out how to do it for multi-curve.

On Wed, Apr 23, 2014 at 8:31 PM, John Orford <[hidden email]> wrote:

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

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Sincerely yours

Hengli Zhang
MSFM, University Of Chicago

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