Posted by
Federico Cozzi on
Dec 21, 2015; 9:14am
URL: http://quantlib.414.s1.nabble.com/Bootstrapping-yield-curve-by-imposing-implied-value-0-tp17200.html
Hello,
I would like to use Quantlib to bootstrap yield curves in a multi-curve
environment.
I read Ballabio's guide "Implementing Quantlib" and browsed source code. I
understand that IterativeBootstrap's algorithm, which relies on
BootstrapHelper, tries to equate market quote with implied quote.
I would like to use a slightly different approach: I would like to equate
the implied value with 0. The result should be the same, but code could be
simpler: for instance computing the swap value could be simpler that
computing the swap par rate.
(I see that Real SwapRateHelper::impliedQuote() contains the comment "weak
implementation... to be improved")
What is the easiest way to modify Quantlib code to perform this different
algorithm? Perhaps I could write my own RateHelpers, where I redefine the
quoteError method. But since IterativeBootstrap is quite general, perhaps
there is a better method.
Regards,
Federico Cozzi
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