Re: Boostrapping TS in QuantLibXL

Posted by Luigi Ballabio on Mar 28, 2007; 9:23pm
URL: http://quantlib.414.s1.nabble.com/Boostrapping-TS-in-QuantLibXL-tp9311p9313.html


On Mar 28, 2007, at 9:36 PM, eric ehlers wrote:

> That's basically it.  Existing QuantLibXL books work as follows:
>
> 1. create a dummy term structure (say TS1) ;
> 2. create my Euribor object based on TS1 ;
> 3. create swap rate helpers based on my Euribor object ;
> 4. create a term structure (say TS2) ;
> 5. call qlExtrapolatorEnableExtrapolation() on TS2
> 6. bootstrap TS2 based on the rate helpers
> 7. call qlSetEuriborTermStructure to relink all enumerated Euribor
> objects to TS2 ;
> 8. we're now ready to price some securities.

Is 5 necessary? During bootstrapping, the curve is extended at each new
node so that it covers all times needed by the corresponding helper.

Luigi


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