Re: [Quantlib-users] Curves over Eonia
Posted by
sarpkacar on
Aug 16, 2011; 9:23am
URL: http://quantlib.414.s1.nabble.com/Re-Quantlib-users-Curves-over-Eonia-tp9403.html
Hi Nando,
Thanks for the answer. It worked, I could bootstrapp a Euribor over eonia curve.
What about the stochastic modelling of basis spread, is there already an implementation or ongoing work or any plan to incorporate it?
Regards,
Kaya
On Wed, Aug 10, 2011 at 11:32 AM, Ferdinando Ametrano
<[hidden email]> wrote:
Hi Kaya
> It seems that the iterative
> bootstrapping algorithm uses the same curve for forwards and discounting.
the iterative boostrapping algorithm bootstrap just one curve but
delegates to the bootstrap-helper how to use it. It's completely
feasible for the helper to use the curve being bootstrapped for
forwarding and a different curve for boostrapping. This is already
done, e.g. SawpRateHelper
On Mon, Aug 8, 2011 at 9:54 PM, sarpkacar <[hidden email]> wrote:
> I am interested in bootstrapping tenor specific forward curves over Eonia,
> matching the corresponding swap quotes in the market. Is it possible to do
> this in QL?
It is already done in QLXL, but it is not documented. You can
implement your own stuff or investigate what's available using
QuantLibXL.xla
> What I need is, for example given Eonia discount curve, bootstrap a 3M
> forward curve to match quoted 3M swap rates. Is it possible to separate in
> QL discount and forward curves?
yes it is, see also my slides on the issue (all the charts have been
done using QLXL implementation):
http://www.statpro.com/PDF/RateCurves-final.pdf
ciao -- Nando
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