Source Code for "Bootstrapping The Illiquidity" Paper

Posted by Haonan Zhou on
URL: http://quantlib.414.s1.nabble.com/Source-Code-for-Bootstrapping-The-Illiquidity-Paper-tp15782.html

Hello Everybody,

I am very interested in multi-curve construction in the QuantLib
framework, and I came across the paper "Bootstrapping the Illiquidity"
on the QuantLib website. The paper mentions that the source code used
for the multi-curve fitting study is available open source, but I have
been unable to find it in the QuantLib repo and elsewhere on the
internet. Would it be possible for somebody to help out and point me to
the exact location of the source code?

Alternatively, is there any other open-source QuantLib code that does
multi-curve fitting available?

Thanks,
Haonan

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