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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