Re: how to build treasury spot curve
Posted by
Allen Kuo-2 on
Mar 07, 2008; 2:10am
URL: http://quantlib.414.s1.nabble.com/how-to-build-treasury-spot-curve-tp5834p5835.html
Hi:
If you want to bootstrap fit: Examples/Swap/swapvaluation.cpp shows how to bootstrap a multi-instrument curve. The T-bonds would have to use the FixedRateBondHelper (not shown in the Example). The T-bills could be massaged into the DepositeRateHelper form or you can try writing a "ZeroCouponBondHelper" for the task. The Eurodollar futures should work directly (though you want to be sure you want to combine futures with gov't issued securities in a single curve).
If you want a least-squares type of fit, see Examples/FittedBondCurve/FittedBondCurve.cpp. This only takes fixed rate bonds right now- you can try something like setting the coupon to a very small number in a FixedRateBond to mimic a T-bill, but no guarantees on that. It does not reproduce input prices exactly, since the purpose is to smooth out some of the noise and give some
indication of bond richness/cheapness.
Allen
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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