[Quantlib-dev] Quantlib/XL Enhancement to "FittedBondDiscountCurve" and simultaneously fitting "credit spread curves"

[Michael W. <wa...@im...>]

Hi there,

I am using Quantlib for a bit, and I started to develop some enhancements
to the library.

As I am new to Quantlib development, I am not sure about the right
procedure to supply source code to QuantLib. How and with whom can/should
I discuss my solution? Is there anybody who can help me?

These are my topics:
1)
I developed a minor enhancement to QL, allowing to use
ZeroBonds in class "FittedBondDiscountCurve", furthermore I
added the complete "FittedBondDiscountCurve" functionality to
QuantlibAddin / XL, to be able to calculate the curve
fitting in XL.
I would like to provide these enhancement to the project or
someone who will review these changes to ensure that they
are conform to the coding styles from Quantlib.
Can you please let me know how to continue or whom to contact?

2)
Currently I am working on simultaneously fitting credit
spread curves based on coporate bonds with different ratings
as input.
In other words: I am simultaneously  fitting multiple sets of
bonds (Fixedratebonds and Zerobonds) for different ratings.
For each set of bonds I am calculating the spread on top of
a basis curve (e.g. Swapcurve) which will be simultaneously
fitted with a simplified Nelson-Siegel method. The fit is
done with constraints, so that the resulting curves have the expected
behaviour.
This functionality is completely available in XL (and QuantLibAddin) as well.
Might this be of interest for the QL-project? Please let me
know.

Kind regards

Michael