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how to build treasury spot curve

Posted by Jeffrey Yu-2 on Mar 06, 2008; 8:18pm
URL: http://quantlib.414.s1.nabble.com/how-to-build-treasury-spot-curve-tp5834.html

Hi, is there any existing object in QuantLib can help building the treasury spot curve?

 

On the short end of the curve, we’ll have:

 

O/N,

4 week t-bill,

13 week t-bill,

26 week t-bill,

 

Then followed by 40 listing contracts of ED futures,

 

Plus ct2, ct5, ct10 and ct30.

 

Any feedback would be appreciated!

 

Jeff


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