Posted by
Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/yield-curve-bootstrapping-tp5464p5471.html
On Thu, 2010-05-06 at 05:26 -0700, zlee wrote:
> two questions related to bootstrapping for different currency. First, does
> the swapRateHelper take care of floating leg UK holidays? It seems that it
> does not.
It should, if you're passing it an USDLibor instance (the latter
calculates fixing dates based on both UK and US holidays, as specified
for LIBOR.) Do you have a counterexample?
> Another question is if
> there is an option for piecewise quadratic forward termstructure. Thanks.
Not at this time. If you wrote a quadratic interpolation with the same
interface as the existing ones (linear, cubic etc.---you can look at the
ql/math/interpolations folder) then you'll be able to plug it in the
piecewise curve.
Luigi
--
I have made this letter longer than usual, only because I have not had
the time to make it shorter.
-- B. Pascal
------------------------------------------------------------------------------
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users