Posted by
Francois-23 on
Mar 09, 2012; 4:29pm
URL: http://quantlib.414.s1.nabble.com/Curves-over-Eonia-tp221p224.html
SK A <ska.quant <at> googlemail.com> writes:
>
>
> Hi Nando,
>
> Thanks for the answer. It worked, I could bootstrapp a Euribor over
eonia curve.
Hello
I want to do exactly the same thing and i didn't understand how you did it
Do you have more explanation ?
Thanks in advance
Regards
Francois
>
> What about the stochastic modelling of basis spread, is there already an
implementation or ongoing work or any plan to incorporate it?
>
> Regards,
> Kaya
>
>
> On Wed, Aug 10, 2011 at 11:32 AM, Ferdinando Ametrano <nando <at>
ametrano.net> wrote:
>
>
> Hi Kaya> It seems that the iterative> bootstrapping algorithm uses the same
curve for forwards and discounting.the iterative boostrapping algorithm
bootstrap just one curve butdelegates to the bootstrap-helper how to use it.
It's completelyfeasible for the helper to use the curve being bootstrapped
forforwarding and a different curve for boostrapping. This is already
> done, e.g. SawpRateHelperOn Mon, Aug 8, 2011 at 9:54 PM, sarpkacar
<ska.quant <at> googlemail.com> wrote:> I am interested in
bootstrapping tenor specific forward curves over Eonia,
> > matching the corresponding swap quotes in the market. Is it possible to
do> this in QL?It is already done in QLXL, but it is not documented. You
canimplement your own stuff or investigate what's available using
> QuantLibXL.xla> What I need is, for example given Eonia discount curve,
bootstrap a 3M> forward curve to match quoted 3M swap rates. Is it possible
to separate in> QL discount and forward curves?yes it is, see also my slides
on the issue (all the charts have beendone using QLXL
implementation):
http://www.statpro.com/PDF/RateCurves-final.pdfciao -- Nando
>
>
>
>
>
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