curve bootstrapping

Posted by abdelak.adjriou on
URL: http://quantlib.414.s1.nabble.com/curve-bootstrapping-tp4593.html

Hi Luigi;

In the curve bootstrapping method , for each instrument , quantlib solves the following equation using newton optimistaion : the implied quote - the theoritical quote =0.0 by adjusting the discount factor.
This costs a lot, why don't we just solve    price of each instrument =0.0 ?

Because by calculating the theoritcal quote , it's easy when you have a swap, the implied quote (the swap rate) is a closed formula but if you have another instrument, sometimes it's quite difficult.

And We can't change the quoteError()  function in rateHelper because the method is public ?


Regards.



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