R: Tr : Source Code for "Bootstrapping The Illiquidity" Paper

Posted by Ballabio Gerardo-4 on
URL: http://quantlib.414.s1.nabble.com/Source-Code-for-Bootstrapping-The-Illiquidity-Paper-tp15782p15796.html

You may ask the authors of the paper. At least one of them reads this mailing list.

 

Gerardo

 

 

 

Gerardo Ballabio

Risk Management

 

Banca Profilo S.p.A.

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Da: Haonan Zhou [mailto:[hidden email]]
Inviato: mercoledì 27 agosto 2014 16.12
A: Mbongo Nkounga Jeffrey Ted Johnattan
Cc: [hidden email]; [hidden email]
Oggetto: Re: [Quantlib-users] Tr : Source Code for "Bootstrapping The Illiquidity" Paper

 

Hi Jeffery,

The code that you included in your emails still seems to just fit a single EONIA curve to market data. I am interested in fitting multiple curves simultaneously as did the authors of the "Bootstrapping the Illiquidity" paper. Do you know where I can find the implementation of multi-curve fitting?

Thanks,
Haonan

On 08/27/2014 05:48 AM, Mbongo Nkounga Jeffrey Ted Johnattan wrote:

 

Hello Zhou,

Below is my Eonia yield curve code (using the same paper) . I was in your situation few months ago, I got help from quantlib especially from luigi. Also you can consider the book C# for Financial markets Daniel and andrea (very nice book in curve).

 

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