Posted by
Luigi Ballabio on
Feb 27, 2009; 12:19pm
URL: http://quantlib.414.s1.nabble.com/Bootstrapping-zero-rate-curve-tp7387p7394.html
On Fri, 2009-02-27 at 03:49 -0800, ZCEMR10 wrote:
> Thanks for your response. My knowledge of C++ is fairly basic, so I'm having
> difficulty honing in on the relevant areas of the code. I notice, though,
> that FittedBondCurve does not use either ZeroYieldStructure or
> ForwardRateStructure classes. What I would like to do is refer to these
> classes, if possible, and conduct a simple bootstrap to obtain the zero
> curve.
ZeroYieldStructure and ForwardRateStructure are just interfaces.
The bootstrap code is in PiecewiseYieldCurve, which is also used in the
example. If you want to bootstrap zero rates, you can use for instance
PiecewiseYieldCurve<ZeroYield,Linear>.
Luigi
--
The most exciting phrase to hear in science, the one that heralds new
discoveries, is not "Eureka!" but "That's funny..."
-- Isaac Asimov
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