Posted by
Luigi Ballabio on
Aug 06, 2009; 1:49pm
URL: http://quantlib.414.s1.nabble.com/PiecewiseYieldCurve-YieldTermStructure-tp7868p7870.html
On Wed, 2009-08-05 at 10:01 +0200, Bogaert, Gilles wrote:
> Further question: When I create my ratehelper objects(deposit and
> swaps), I give all the specifications concerning these rates. Then I
> create the object PiecewiseYieldCurve giving this vector of ratehelper
> objects in order to get the zero rates back at certain dates. I have not
> found/understood yet where the bootstrapping is done. Where do you
> calculate back the different yield from the ratehelpers and where it is
> interpolated? Could you just tell me the name of the classes, I will
> look at them afterwards and try to understand?
The calculation is triggered by
PiecewiseYieldCurve::performCalculation(), that delegates it to the
bootstrapper. The latter is chosen by means of the last template
argument to PiecewiseYieldCurve and by default is the IterativeBootstrap
class. Its method calculate() does the bootstrap and sets the data
members of PiecewiseYieldCurve to the results. Depending on what you're
interpolating, they might be inherited from InterpolatedZeroCurve or
some other Interpolated...Curve class.
Luigi
--
I am extraordinarily patient, provided I get my own way in the end.
-- Margaret Thatcher
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