Posted by
Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/Yield-Curve-Boostraping-Improvements-tp9826p9830.html
On Mon, 2007-10-01 at 07:20 -0700, newbie73 wrote:
> 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.
Does this depend on the chosen interpolation?
> 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.
"Selecting knot points" as in "choosing which instruments to use among
the available ones" (which is what Nando referred to) or as in "choosing
a set of knots freely, i.e., not necessarily corresponding to instrument
maturities"?
Later,
Luigi
--
This gubblick contains many nonsklarkish English flutzpahs, but the
overall pluggandisp can be glorked from context.
-- David Moser
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