Yield Curve Boostraping Improvements

Posted by newbie73 on
URL: http://quantlib.414.s1.nabble.com/Yield-Curve-Boostraping-Improvements-tp9826.html

So far I've been quite happy with the functionality in the QuantLib library - I'd like to start using it to compare to market pricing.  I've found that the curve stripping methodology produces extremely jagged forward curves which result in poor pricing of several market structures.

I'd like to add a curve stripping methodology that I've been using with an internal library at my current work though I definitely need some help in adding such a change to the library.

Also, some algorithmic help in dynamically selecting knot points would be much appreciated as well.  The basic idea is the creation of a smooth interpolation method for a selected set of knot points for a given curve.  This is done using an exponential spline across the term structure.

Let me know if anyone can help me with this, I'd be glad to discuss the algorithm further if the support is there.

- Luis