http://quantlib.414.s1.nabble.com/Building-a-USD-discount-curve-using-public-market-data-tp17963p17965.html
side of my question? i.e. do you think it is sensible to add any
> Marco,
>
> This spreadsheet pulls a load of depo, futures & swap rates from quandl to
> bootstrap a yield curve. I tested it with QuantLibXL 1.4 when I built it.
>
>
https://github.com/SpreadServe/ssxls/blob/master/ycb_quandl_pub.xls>
> It likely won't work right off the bat for you as I suspect some of the
> quandl datasets have changed recently. But hopefully you can get some
> traction with quandl datasets and the general idea. I am planning to update
> and retest the sheet soon as part of a wider test effort, so if you follow
> on github you'll be notified.
>
> Cheers
> John
>
> On 6 January 2017 at 11:34, Marco Craveiro <
[hidden email]> wrote:
>>
>> Hi Quantlib-Users,
>>
>> I am performing a simple exercise to help me understand Quantlib
>> better: to price Netflix options [1] using only publicly available
>> market data, as a "regular consumer/individual" would. My first step
>> is to build a yield curve, followed by a second step working on the
>> vol surface. I have a few questions which hopefully pertain to this
>> forum; these questions are as much about methodology as they are about
>> Quantlib, so apologies in advance if this is not the right place.
>>
>> I have read a number of articles on bootstrapping and bumping discount
>> curves using Quantlib (e.g. [1], [2], [3]). The code is very clear.
>> However, all of these articles seem to be focused on a "commercial"
>> market - i.e. Interbank/Hedge funds and so forth - since they use
>> Depos, FRAs and Swaps on the discount curve. Presumably, individuals
>> do not have access to buy/sell these instruments and as such should
>> not add them to their discount curves? Or is the availability of the
>> instruments not relevant for this purpose? Personally, I was going to
>> use only the instruments available in the Treasury website [3], but
>> I'd be interested to hear other opinions and any pointers to
>> articles/mails etc on bootstrapping curves/vol surfaces using only
>> freely available market data.
>>
>> Kind regards
>> --
>> Marco Craveiro
>>
>> [1]
https://www.google.com/finance/option_chain?q=NASDAQ:NFLX>> [2]
http://www.billiontrader.com/post/102>> [3]
>>
http://gouthamanbalaraman.com/blog/quantlib-term-structure-bootstrap-yield-curve.html>> [4]
http://www.bnikolic.co.uk/blog/ql-bumping-curve.html>> [5]
>>
https://www.treasury.gov/resource-center/data-chart-center/interest-rates/Pages/TextView.aspx?data=yield>>
>> MD, Domain Driven Consulting
>> about:
http://about.me/marcocraveiro>> blog:
http://mcraveiro.blogspot.co.uk>> twitter:
https://twitter.com/MarcoCraveiro>>
>> That the Ideas are themselves manifestations (of the Idea-Idea) and
>> that the Idea-Idea is a-kind-of Manifestation-Idea—which is a-kind-of
>> itself, so that the system is completely self-describing— would have
>> been appreciated by Plato as an extremely practical joke [Plato]. --
>> Alan Key
>>
>>
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been appreciated by Plato as an extremely practical joke [Plato]. --