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boostraping a YC in the past

Posted by DU VIGNAUD DE VILLEFORT FRANCOIS GASAPRD PHI on May 31, 2007; 3:40pm
URL: http://quantlib.414.s1.nabble.com/boostraping-a-YC-in-the-past-tp9540.html

Hi all,

 

 

I try to boostrap a YC in the past (to compute a some historical correlation matrix). Ideally I would like to change the evaluation date and use the index historical values stored in the corresponding time serie. Yet I have the impression that if one changes the evaluation date YC are bootstraped as of this date using the values provided by the quotes (instead of the historic fixings). Any idea ?

François


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