Re: Bonds Helper class...

Posted by Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/Bonds-Helper-class-tp3959p3960.html

On 08/02/2005 05:24:02 PM, Toyin Akin wrote:
>
> What do you guys think of this first implementation of a Bonds Helper  
> class in order to strip a bonds curve.
> (Deposits+Futures+Bonds)

The implementation seems ok to me. But I'm not sure that it should be  
used together with deposits and futures, as bond quotes include the  
credit spread of the bond issuer while deposit and futures quotes  
don't. I think it would be better to bootstrap a curve on bonds  
alone---possibly choosing bonds with the same issuer, or at least  
similar ones with respect to rating.

> If you find it useful, can you merge this into the Quantlib source?

I will, as soon as I get a bit of time.

Thanks,
        Luigi


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