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
-------------------------------------------------------------------------
This SF.net email is sponsored by: Microsoft
Defy all challenges. Microsoft(R) Visual Studio 2008.
http://clk.atdmt.com/MRT/go/vse0120000070mrt/direct/01/_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users