dual curve bootstrapping
Posted by
ashwinids on
Oct 04, 2015; 2:44pm
URL: http://quantlib.414.s1.nabble.com/dual-curve-bootstrapping-tp16940.html
I'm trying to learn dual curve bootstrapping by following the paper
discouting.cpphttps://www.google.co.in/url?sa=t&rct=j&q=&esrc=s&source=web&cd=1&cad=rja&uact=8&ved=0CBwQFjAAahUKEwj6wLCEjKnIAhVYkY4KHXK0DWQ&url=http%3A%2F%2Fssrn.com%2Fabstract%3D2219548&usg=AFQjCNGZ2tanuDrTuSxa_sYRNoRZVuaqyw&sig2=KLgOhmFSUYvZ7FcdKqI_2g&bvm=bv.104317490,d.c2EFirst I created full ois discounting curve,then supplied it to the swapratehelper to bootstrap the forward curve.
code for swapratehelper:
boost::shared_ptr<RateHelper> s12m(new SwapRateHelper(
Handle<Quote>(s12mRate), 1*Years,
calendar, swFixedLegFrequency,
swFixedLegConvention, swFixedLegDayCounter,
swFloatingLegIndex,Handle<YieldTermStructure>(OISwapTermStructure)));
I'm getting compilation errors
no known conversion for argument 1 from ‘QuantLib::Handle<QuantLib::Quote>’ to ‘QuantLib::Rate {aka double}
no known conversion for argument 8 from ‘QuantLib::Handle<QuantLib::YieldTermStructure>’ to ‘const QuantLib::Handle<QuantLib::Quote>&
These compilation error start after addition of QuantLib::Handle<QuantLib::YieldTermStructure> to swapratehelper constructor.
I have attached a sample of the code.
Please guide me here,what i'm doing wrong?