QuantLib - Re: Simulating multiple correlated stochastic processes

Re: Simulating multiple correlated stochastic processes

Posted by yong cai-2 on
URL: http://quantlib.414.s1.nabble.com/Simulating-multiple-correlated-stochastic-processes-tp6488p6489.html

Great to learn the Quantlib. I would like to start with building a USD term structure with Euro Dollar Futures and Swap contracts as most IB shops do:

Short end: ED upto 4 years

Rest: Swap contract upto 40 years

I saw examples using fixed-rate-bond and flat TS, but not sure how to build with the mix.

Thanks for the help.

Yong

--- On Tue, 7/1/08, Luigi Ballabio <[hidden email]> wrote:

From: Luigi Ballabio <[hidden email]>
Subject: Re: [Quantlib-users] Simulating multiple correlated stochastic processes
To: [hidden email]
Date: Tuesday, July 1, 2008, 9:05 AM
Yong,
	please post the question to the mailing list. It is useful for
everybody.

Luigi


-- 

Do the right thing. It will gratify some people and astonish the rest. 
-- Mark Twain

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