Re: Yield Curve Boostraping Improvements

Posted by Ferdinando M. Ametrano-3 on
URL: http://quantlib.414.s1.nabble.com/Yield-Curve-Boostraping-Improvements-tp9826p9833.html

Hi Luis

> algorithmic help in dynamically selecting knot points would be
> much appreciated as well.
some algorithms for instruments selection are defined in
QuantLibAddin, see qlRateHelperSelection in qlo/ratehelpers.hpp.
They are not in QuantLib as Luigi has preferred to keep them in the
application layer out of the analytic library so far.

> using an exponential spline across the term structure.
This is something I've been planning for a long time now. We have
Log-Linear interpolation, but what we really need is a logarithmic
adapter of any available interpolation. Then my favorite approach
would be monotone-cubic interpolation of log-discounts

ciao -- Nando

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