Re: Question about building yield curve

Posted by Luigi Ballabio on Jul 16, 2015; 1:54pm
URL: http://quantlib.414.s1.nabble.com/Question-about-building-yield-curve-tp16716p16728.html

You can start from the swap-valuation example in the QuantLib C++ release (look into the folder Examples/Swap) or the tests for the bootstrapped curve (test-suite/piecewiseyieldcurve.cpp).

Luigi

On Thu, Jul 16, 2015 at 3:34 PM Boris Chow <[hidden email]> wrote:

Thanks, either one would be fine to me. :)

Sent from my iPhone

On 16 Jul, 2015, at 9:26 pm, Luigi Ballabio <[hidden email]> wrote:

Hello Boris,

    are you looking for examples in C++ or Excel?

Luigi

On Sat, Jul 11, 2015 at 5:18 PM Boris Chow <[hidden email]> wrote:

Dear all,

I am new to quantlib and would like to start reading documentation and would like to get an idea about how quantlib create yield curve with deposit rate / swap rate.

Would some kindly give me an pointer to start with?

Thanks a lot,

Boris

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