Re: Bootstrapping zero-rate curve

Posted by J.W. van Stuijvenberg on Jun 23, 2009; 1:29pm
URL: http://quantlib.414.s1.nabble.com/Bootstrapping-zero-rate-curve-tp7387p7388.html



Dear Zcemr,

I read your question and have the solution. On
www.van-stuijvenberg.com you can download an
add in that does the bootstrapping for you. It
converts PAR rates to Spot rates. The script is
not protected and the download is for free.
I work for many Dutch pension funds and these
kind of downloads I provide for free as a service.

Kind regards,
Jan Willem.

 

ZCEMR10 wrote

Dear all,

I am new to QuantLib, and I would like to construct some code to generate a zero-rate curve, applying the bootstrap method to calculate zero rates for Treasuries using Treasury bond prices. I would be grateful if anyone could point me to suitable classes for this purpose.

Thank you.

zcemr