Re: curve bootstrapping

Posted by Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/curve-bootstrapping-tp4593p4595.html

>> From: [hidden email]
>> To: [hidden email]
>> CC: [hidden email]
>> Subject: [Quantlib-users] curve bootstrapping
>> Date: Fri, 10 Mar 2006 10:40:06 +0100
>>
>> 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 ?

At the quoted rate, the price equals 0 only for swaps. Deposits,  
forwards and futures have positive prices. Therefore, price = 0 cannot  
be used as a generic condition for all instruments.

Cheers,
        Luigi


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