>From: Luigi Ballabio <
[hidden email]>
>To: Toyin Akin <
[hidden email]>
>CC:
[hidden email]
>Subject: Re: [Quantlib-users] Bonds Helper class...
>Date: Wed, 24 Aug 2005 15:51:55 +0000
>
>
>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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