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

Posted by Hengli Zhang on Apr 24, 2014; 3:14pm
URL: http://quantlib.414.s1.nabble.com/Is-there-any-example-using-Quantlib-for-mutli-curve-bootstrapping-tp15189p15194.html

Thanks John. I guess in multi-curve, the discounting curve is different than the underlying curve. (while in single-curve, they are the same). and, it still uses all the instruments, e.g. depo, FRA, future, swap. I'll see what i can do from the single curve example.

On Wed, Apr 23, 2014 at 9:53 PM, John Orford <[hidden email]> wrote:

Oh maybe take a look at the swap example then?  I see the discount term structure is created from FRA, future, deposit and swap info.  Then again I may have misunderstood what you're looking for - only skimmed that paper quite a while ago.

On 24 April 2014 10:43, Hengli Zhang <[hidden email]> wrote:

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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Sincerely yours

Hengli Zhang
MSFM, University Of Chicago

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