Posted by
Brent A Ritterbeck on
Feb 24, 2009; 4:16pm
URL: http://quantlib.414.s1.nabble.com/Eurodollar-futures-tp7206p7210.html
Boris,
Hull's Options, Futures, and Other Derivatives, 6th Edition, gives an explanation of how to bootstrap the zero curve on pages 82-84. The market data he uses to derive the U.S. Treasury zero curve are a 3-, 6-, and 12-month zeros and a 18- and 24-month with coupon >0. Since I am curious as to how this works in the real world, I am hoping someone who is actually working as a quant can verify if this is the method used in practice.
Brent Ritterbeck
________________________________________
From: Boris Skorodumov [
[hidden email]]
Sent: Tuesday, February 24, 2009 9:28 AM
To: QuantLib Users
Subject: [Quantlib-users] Eurodollar futures
Hello All,
1. Suppose, I have Eurodollar futures quotes and would like to derive zero curve from them.
Does QuantLib have any test examples for this?
2. This question is not exactly related to QuantLib. But I though that someone can suggest.
Suppose, I would like to derive zero curve from relevant market data. What kind of market data people usually use in order to do it?
Thank you in advance,
Boris.
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