Re: Bootstrapping zero-rate curve
Posted by
ZCEMR10 on
Feb 26, 2009; 10:54pm
URL: http://quantlib.414.s1.nabble.com/Bootstrapping-zero-rate-curve-tp7387p7391.html
Having looked into Luigi's documents on the implementation of QuantLib, I see that the two classes ZeroYieldStructure and ForwardRateStructure can be applied to generate the zero curve. From his notes, this is donw by converting the interface in YieldTermStructure from discount-based to one based on zero-yield and instantaneous forward rates.
Can someone please show me a basic .cpp file that can demonstrate the use of the classes, based on basic user data?
Thank you.
Kind regards,
zcemr
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