Re: Simulating multiple correlated stochastic processes

Posted by Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/Simulating-multiple-correlated-stochastic-processes-tp6488p6490.html

Yong,
        apologies for the delay. I have been on vacation and I have lost track
of old posts.

On Tue, 2008-07-01 at 06:30 -0700, yong cai wrote:
>  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:
>
>  I saw examples using fixed-rate-bond and flat TS, but not sure how to
> build with the mix.


You can have a look at the Swap example--it builds a term structure
based on deposits, futures, and swaps.

Luigi


--

If you can't convince them, confuse them.
-- Harry S. Truman



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