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

[Anthony S <ant...@ya...>]

Hi Michael.

Did this bit of code ever get added to the trunk? If not, I'd certainly like
to see it - I'm trying to imply an inflation index from inflation-linked
gilts in QLXL, and the starting point would be a discount curve from normal
gilts. And I'm new too :)

Anthony


Michael Waßmann wrote:
> 
> 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
> 
> 
> 
> 
> 
> 
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