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Multiple Interest Rate Curve Bootstrapping

Posted by DirkJonkman on Mar 14, 2016; 4:41pm
URL: http://quantlib.414.s1.nabble.com/Multiple-Interest-Rate-Curve-Bootstrapping-tp17345.html

Hi,

I would like to replicate the curve constructions of Ametrano and Bianchetti in the paper: "Everything you always wnated to know about multiple interest rate curve bootstrapping but were afraid to ask". Link: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2219548

According to the writers the codes used can be found on the QuantLib library. But I am not able to find these, I am a new user in the QuantLib community since today. Could someone explain to me where to find the materials from this paper and/or other multi curve bootstrapping related materials.

The writers refered to the location were the codes could be found is: "revision 18431 in the QuantLib SVN repository R01020x-branch".

Thanks in advance.

Kind regards,

Dirk Jonkman

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