Re: Multiple Interest Rate Curve Bootstrapping
Posted by
Luigi Ballabio on
Mar 16, 2016; 3:44pm
URL: http://quantlib.414.s1.nabble.com/Multiple-Interest-Rate-Curve-Bootstrapping-tp17345p17349.html
Hello,
the location is kind of a red-herring. As far as I can tell, it was included in the paper (or possibly in the original one from 2009?) because the code hadn't yet been released, so one had to go find it in the development Subversion repository. Nowadays, all the required classes are included in the QuantLib release.
This said, there's not much documentation on how to actually use them. On the one hand, the C++ library contains simple examples of using the classes, but not for something as complex as the multi-curve bootstrapping. On the other hand, a complete multi-curve framework exists in the QuantLibXL Excel addin, but it's kind of complex and not very well documented. Finally, as it happens, I'm in the process of reproducing the results of the Ametrano and Bianchetti paper in Python, but it's not finished yet. It will be part (warning: self-promotion ahead) of <
https://leanpub.com/thequantlibnotebooks> when it's released, hopefully soon enough. It shouldn't be difficult to translate that to C++.
Hope this helps,
Luigi
Hi,
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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