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

Posted by cheng li on
URL: http://quantlib.414.s1.nabble.com/Source-Code-for-Bootstrapping-The-Illiquidity-Paper-tp15782p15797.html

Currently, QuantLib can’t fit multi �C curve simultaneously. It has to do it one by one.

 

If you need some clues on this topic you can consult to another open source project called Open Gamma and Marc Heared’s new book: Interest Rate Modelling in the Multi-Curve Framework.

 

Regards,

Cheng

 

发件人: Haonan Zhou [mailto:[hidden email]]
发送时间: 2014年8月27日 22:12
收件人: Mbongo Nkounga Jeffrey Ted Johnattan
抄送: [hidden email]; [hidden email]
主题: 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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