Re: Eurodollar futures

Posted by Boris Skorodumov on Feb 24, 2009; 7:00pm
URL: http://quantlib.414.s1.nabble.com/Eurodollar-futures-tp7206p7211.html

Brent,
I am familiar with 82-84 pages. I am note sure that this is the way people do for practical purposes.
I will be interesting to hear from people who actually do it. One of the way would be using Eurodollar futures.
Boris.

On Tue, Feb 24, 2009 at 11:16 AM, Brent A Ritterbeck <[hidden email]> wrote:

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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