Re: [Quantlib-dev] QuantLib-dev Digest, boostrapping multiple interest rate yield curves

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I would just add a fictitious flat discount curve in the existing
bootstrapping example, passing it to the SwapRateHelpers. A realistic
coherent dataset would get old anyway without adding to much to the
example logic.

If we want to go the extra mile it might be better to show in the
example the difference in the implied fwd rates obtained bootstrapping
the same swap rates with exogenous discounting.

do you agree?

On Mon, Jul 16, 2012 at 5:46 PM, Luigi Ballabio
<lui...@gm...> wrote:
> We do need an example of this, though.  Nando, do you have a dataset
> we can use?  I'll try and find a volunteer for the example...
>
> Luigi
>
> On Tue, Jul 10, 2012 at 2:39 PM, Ferdinando Ametrano <na...@am...> wrote:
>> check
>> a) iterative boostrap
>> b) SwapRateHelper which can be used with a discount curve different
>> from the forwarding one being boostrapped
>>
>> On Tue, Jul 10, 2012 at 1:34 PM,  <tb...@ao...> wrote:
>>> Hi Ferdinando,
>>>
>>> I have a question on the paper Bootstrapping the Illiquidity. Please where
>>> in Quantlib is the code for boostrapping multiple interest rate yield curves
>>> implemented?
>>>
>>> Is there an example in Quantlib?
>>>
>>> Regards
>>>
>>> Theo
>>>
>>>
>>> -----Original Message-----
>>> From: quantlib-dev-request <qua...@li...>
>>> To: quantlib-dev <qua...@li...>
>>> Sent: Tue, 10 Jul 2012 9:56
>>> Subject: QuantLib-dev Digest, Vol 74, Issue 2
>>>
>>> Send QuantLib-dev mailing list submissions to
>>>       qua...@li...
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>>>
>>> When replying, please edit your Subject line so it is more specific
>>> than "Re: Contents of QuantLib-dev digest..."
>>>
>>>
>>> Today's Topics:
>>>
>>>    1. Re: Use QuantLib Swig Python Extension with VS2010
>>>       (Ferdinando Ametrano)
>>>    2. Re: Use QuantLib Swig Python Extension with VS2010 (Didrik Pinte)
>>>    3. Re: Use QuantLib Swig Python Extension with VS2010
>>>       (Luigi Ballabio)
>>>    4. Re: Use QuantLib Swig Python Extension with VS2010
>>>       (Ferdinando Ametrano)
>>>    5. Re: Use QuantLib Swig Python Extension with VS2010 (Eric Ehlers)
>>>    6. swapindex clone (Peter Caspers)
>>>    7. Re: QuantLibXL / ObjectHandler 1.2 Prerelease Files (Eric Ehlers)
>>>    8. [ quantlib-Patches-3541625 ] Math macros        redefinition
>>>       warnings on VC++ (SourceForge.net)
>>>    9. [ quantlib-Patches-3541627 ] Upgrade    boost::filesystem
>>>       functions to version 3 (SourceForge.net)
>>>
>>>
>>> ----------------------------------------------------------------------
>>>
>>> Message: 1
>>> Date: Thu, 5 Jul 2012 16:40:00 +0200
>>> From: Ferdinando Ametrano <na...@am...>
>>> Subject: Re: [Quantlib-dev] Use QuantLib Swig Python Extension with
>>>       VS2010
>>> To: Luigi Ballabio <lui...@gm...>
>>> Cc: Michael <mdr...@we...>, qua...@li...
>>> Message-ID:
>>>       <CAE...@ma...>
>>> Content-Type: text/plain; charset=ISO-8859-1
>>>
>>>>     I agree with VC2008 being the preferred compiler for the Python
>>>> module, but what do you mean with "QL is not friendly with VC2010"?
>>>
>>> Is the 2010 project actively maintained?
>>>
>>>
>>>
>>> ------------------------------
>>>
>>> Message: 2
>>> Date: Thu, 5 Jul 2012 16:22:59 +0200
>>> From: Didrik Pinte <dp...@en...>
>>> Subject: Re: [Quantlib-dev] Use QuantLib Swig Python Extension with
>>>       VS2010
>>> To: Ferdinando Ametrano <na...@am...>
>>> Cc: Michael <mdr...@we...>, qua...@li...
>>> Message-ID:
>>>       <CAD...@ma...>
>>> Content-Type: text/plain; charset=UTF-8
>>>
>>> On 5 July 2012 16:09, Ferdinando Ametrano <na...@am...> wrote:
>>>> Hi Micheal
>>>>
>>>> in order to achieve your goal you should compile Python with VC2010,
>>>> or Pyhton and QL bindings would never link.
>>>> Anyway that is definitely not the suggested way to go, as you might
>>>> discover that also QL is not friendly with VC2010.
>>>>
>>>> Try to go back to VC2008. I for one would probably just skip VC2010
>>>> altogheter
>>>>
>>>> ciao -- Nando
>>>>
>>>> On Wed, Jul 4, 2012 at 10:00 PM, Michael <mdr...@we...> wrote:
>>>>> Dear all,
>>>>>
>>>>> I'm trying to compile the python swig extension. Unfortunately this is
>>>>> not
>>>>> working. My current setup looks like this.
>>>>>
>>>>> - QuantLib Version 1.1
>>>>> - Python Version 2.7.2
>>>>> - Visual Studio 2010 SP1
>>>>>
>>>>> When I try to compile the python swig extensions I get the following
>>>>> error:
>>>>>
>>>>> running build
>>>>> running build_py
>>>>> running build_ext
>>>>> building 'QuantLib._QuantLib' extension
>>>>> error: Unable to find vcvarsall.ba
>>>
>>> This is an issue with distutils that is not aware of VC2010. By
>>> tweaking your environment variables, you can bypass that.
>>>
>>> You might have issues related to the manifest in you files. I have
>>> solved that issue with Cython and some wrappers built under VS2010
>>> lately. I don't know how SWIG behaves though.
>>>
>>> -- Didrik
>>>
>>>
>>>
>>> ------------------------------
>>>
>>> Message: 3
>>> Date: Thu, 5 Jul 2012 17:37:41 +0200
>>> From: Luigi Ballabio <lui...@gm...>
>>> Subject: Re: [Quantlib-dev] Use QuantLib Swig Python Extension with
>>>       VS2010
>>> To: Ferdinando Ametrano <na...@am...>
>>> Cc: Michael <mdr...@we...>, qua...@li...
>>> Message-ID:
>>>       <CAJ...@ma...>
>>> Content-Type: text/plain; charset=ISO-8859-1
>>>
>>> Sure it is.  At the very least, the one released in 1.2 works.
>>>
>>> Luigi
>>>
>>> On Thu, Jul 5, 2012 at 4:40 PM, Ferdinando Ametrano <na...@am...>
>>> wrote:
>>>> Is the 2010 project actively maintained?
>>>
>>>
>>>
>>> ------------------------------
>>>
>>> Message: 4
>>> Date: Thu, 5 Jul 2012 17:48:44 +0200
>>> From: Ferdinando Ametrano <na...@am...>
>>> Subject: Re: [Quantlib-dev] Use QuantLib Swig Python Extension with
>>>       VS2010
>>> To: Luigi Ballabio <lui...@gm...>
>>> Cc: Michael <mdr...@we...>, qua...@li...
>>> Message-ID:
>>>       <CAE...@ma...>
>>> Content-Type: text/plain; charset=ISO-8859-1
>>>
>>> ok... so shame on me as the problem is just for QLXL which is not
>>> supported in 2010... :-(
>>>
>>> On Thu, Jul 5, 2012 at 5:37 PM, Luigi Ballabio <lui...@gm...>
>>> wrote:
>>>> Sure it is.  At the very least, the one released in 1.2 works.
>>>>
>>>> Luigi
>>>>
>>>> On Thu, Jul 5, 2012 at 4:40 PM, Ferdinando Ametrano <na...@am...>
>>> wrote:
>>>>> Is the 2010 project actively maintained?
>>>
>>>
>>>
>>> ------------------------------
>>>
>>> Message: 5
>>> Date: Thu, 05 Jul 2012 22:21:40 +0200
>>> From: Eric Ehlers <eri...@na...>
>>> Subject: Re: [Quantlib-dev] Use QuantLib Swig Python Extension with
>>>       VS2010
>>> To: Ferdinando Ametrano <na...@am...>
>>> Cc: Michael <mdr...@we...>, qua...@li...,
>>>       Luigi Ballabio <lui...@gm...>
>>> Message-ID: <201...@mi...>
>>> Content-Type: text/plain; charset=ISO-8859-1; DelSp="Yes";
>>>       format="flowed"
>>>
>>> Quoting Ferdinando Ametrano <na...@am...>:
>>>
>>>> ok... so shame on me as the problem is just for QLXL which is not
>>>> supported in 2010... :-(
>>>
>>> i can try to rectify that when i package up the final release.
>>>
>>> ===================================================
>>> Eric Ehlers
>>> nazcatech sprl | Brussels | http://www.nazcatech.be
>>> * Distributed computing for pricing analytics
>>> * Use Microsoft Excel as a client to the Grid
>>>
>>>
>>>
>>>
>>> ------------------------------
>>>
>>> Message: 6
>>> Date: Fri, 06 Jul 2012 20:24:32 +0200
>>> From: Peter Caspers <pca...@vo...>
>>> Subject: [Quantlib-dev] swapindex clone
>>> To: qua...@li...
>>> Message-ID: <4FF...@vo...>
>>> Content-Type: text/plain; charset=ISO-8859-15; format=flowed
>>>
>>> Hi,
>>>
>>> can we add the following to swapindex ?
>>>
>>> Peter
>>>
>>> //! returns a copy of itself linked to a different forwarding curve and
>>> discount curve
>>>          virtual boost::shared_ptr<SwapIndex> clone(
>>>                          const Handle<YieldTermStructure>& forwarding,
>>>                          const Handle<YieldTermStructure>& discount) const;
>>>
>>> shared_ptr<SwapIndex>
>>>      SwapIndex::clone(const Handle<YieldTermStructure>& forwarding,
>>>                       const Handle<YieldTermStructure>& discount) const {
>>>
>>>              return shared_ptr<SwapIndex>(new
>>>                  SwapIndex(familyName(),
>>>                            tenor(),
>>>                            fixingDays(),
>>>                            currency(),
>>>                            fixingCalendar(),
>>>                            fixedLegTenor(),
>>>                            fixedLegConvention(),
>>>                            dayCounter(),
>>>                            iborIndex_->clone(forwarding),
>>>                            discount));
>>>
>>>      }
>>>
>>>
>>>
>>> ------------------------------
>>>
>>> Message: 7
>>> Date: Fri, 06 Jul 2012 21:57:40 +0200
>>> From: Eric Ehlers <eri...@na...>
>>> Subject: Re: [Quantlib-dev] QuantLibXL / ObjectHandler 1.2 Prerelease
>>>       Files
>>> To: QuantLib developers <qua...@li...>
>>> Message-ID: <201...@mi...>
>>> Content-Type: text/plain; charset=ISO-8859-1; DelSp="Yes";
>>>       format="flowed"
>>>
>>> Hi All,
>>>
>>> Many thanks to those who have gotten back to me so far with feedback.
>>>
>>> I will be offline for the next few days, I will try to resolve any
>>> open issues before the final release, which I hope to ship on 30 July.
>>>
>>> Kind Regards,
>>> Eric
>>>
>>> Quoting Eric Ehlers <eri...@na...>:
>>>
>>>> Hi All,
>>>>
>>>> The prerelease files for version 1.2 of QuantLibXL, QuantLibAddin,
>>>> and ObjectHandler are available at this link:
>>>>
>>>> http://sourceforge.net/projects/quantlib/files/QuantLib/prerelease/
>>>>
>>>> I'd be grateful to anyone who could spare some time to test the files and
>>>> let
>>>> me know how it goes.
>>>>
>>>> Kind Regards,
>>>> Eric
>>>>
>>>> ===================================================
>>>> Eric Ehlers
>>>> nazcatech sprl | Brussels | http://www.nazcatech.be
>>>> * Distributed computing for pricing analytics
>>>> * Use Microsoft Excel as a client to the Grid
>>>>
>>>>
>>>>
>>>> ------------------------------------------------------------------------------
>>>> Live Security Virtual Conference
>>>> Exclusive live event will cover all the ways today's security and
>>>> threat landscape has changed and how IT managers can respond. Discussions
>>>> will include endpoint security, mobile security and the latest in malware
>>>> threats. http://www.accelacomm.com/jaw/sfrnl04242012/114/50122263/
>>>> _______________________________________________
>>>> QuantLib-dev mailing list
>>>> Qua...@li...
>>>> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>>>
>>>
>>>
>>>
>>> ------------------------------
>>>
>>> Message: 8
>>> Date: Mon, 09 Jul 2012 08:27:10 -0700
>>> From: SourceForge.net <no...@so...>
>>> Subject: [Quantlib-dev] [ quantlib-Patches-3541625 ] Math macros
>>>       redefinition warnings on VC++
>>> To: SourceForge.net <no...@so...>
>>> Message-ID:
>>>       <mai...@li...>
>>> Content-Type: text/plain; charset=UTF-8
>>>
>>> Patches item #3541625, was opened at 2012-07-09 08:27
>>> Message generated for change (Tracker Item Submitted) made by piterdias
>>> You can respond by visiting:
>>> https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3541625&group_id=12740
>>>
>>> Please note that this message will contain a full copy of the comment
>>> thread,
>>> including the initial issue submission, for this request,
>>> not just the latest update.
>>> Category: None
>>> Group: None
>>> Status: Open
>>> Resolution: None
>>> Priority: 5
>>> Private: No
>>> Submitted By: Piter Dias (piterdias)
>>> Assigned to: Nobody/Anonymous (nobody)
>>> Summary: Math macros redefinition warnings on VC++
>>>
>>> Initial Comment:
>>> Macro redefinition warnings on VC++ due to math.h and qldefines.h math
>>> constants.
>>> Proposed solution is control QL macro creation based on _USE_MATH_DEFINES
>>> definition.
>>>
>>> ----------------------------------------------------------------------
>>>
>>> You can respond by visiting:
>>> https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3541625&group_id=12740
>>>
>>>
>>>
>>> ------------------------------
>>>
>>> Message: 9
>>> Date: Mon, 09 Jul 2012 08:31:37 -0700
>>> From: SourceForge.net <no...@so...>
>>> Subject: [Quantlib-dev] [ quantlib-Patches-3541627 ] Upgrade
>>>       boost::filesystem functions to version 3
>>> To: SourceForge.net <no...@so...>
>>> Message-ID:
>>>       <mai...@li...>
>>> Content-Type: text/plain; charset=UTF-8
>>>
>>> Patches item #3541627, was opened at 2012-07-09 08:31
>>> Message generated for change (Tracker Item Submitted) made by piterdias
>>> You can respond by visiting:
>>> https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3541627&group_id=12740
>>>
>>> Please note that this message will contain a full copy of the comment
>>> thread,
>>> including the initial issue submission, for this request,
>>> not just the latest update.
>>> Category: None
>>> Group: None
>>> Status: Open
>>> Resolution: None
>>> Priority: 5
>>> Private: No
>>> Submitted By: Piter Dias (piterdias)
>>> Assigned to: Nobody/Anonymous (nobody)
>>> Summary: Upgrade boost::filesystem functions to version 3
>>>
>>> Initial Comment:
>>> Newest Boost (1.50.0) does not support version 2 as explained at
>>> http://www.boost.org/doc/libs/1_50_0/libs/filesystem/doc/index.htm.
>>>
>>> ----------------------------------------------------------------------
>>>
>>> You can respond by visiting:
>>> https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3541627&group_id=12740
>>>
>>>
>>>
>>> ------------------------------
>>>
>>> ------------------------------------------------------------------------------
>>> Live Security Virtual Conference
>>> Exclusive live event will cover all the ways today's security and
>>> threat landscape has changed and how IT managers can respond. Discussions
>>> will include endpoint security, mobile security and the latest in malware
>>> threats. http://www.accelacomm.com/jaw/sfrnl04242012/114/50122263/
>>>
>>> ------------------------------
>>>
>>> _______________________________________________
>>> QuantLib-dev mailing list
>>> Qua...@li...
>>> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>>>
>>>
>>> End of QuantLib-dev Digest, Vol 74, Issue 2
>>> *******************************************
>>>
>>>
>>> ------------------------------------------------------------------------------
>>> Live Security Virtual Conference
>>> Exclusive live event will cover all the ways today's security and
>>> threat landscape has changed and how IT managers can respond. Discussions
>>> will include endpoint security, mobile security and the latest in malware
>>> threats. http://www.accelacomm.com/jaw/sfrnl04242012/114/50122263/
>>> _______________________________________________
>>> QuantLib-dev mailing list
>>> Qua...@li...
>>> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>>>
>>
>> ------------------------------------------------------------------------------
>> Live Security Virtual Conference
>> Exclusive live event will cover all the ways today's security and
>> threat landscape has changed and how IT managers can respond. Discussions
>> will include endpoint security, mobile security and the latest in malware
>> threats. http://www.accelacomm.com/jaw/sfrnl04242012/114/50122263/
>> _______________________________________________
>> QuantLib-dev mailing list
>> Qua...@li...
>> https://lists.sourceforge.net/lists/listinfo/quantlib-dev