[Quantlib-users] stitch together a single curve out of multiple discount curves

[Dzmitry P <4ma...@gm...>]

Hello,

Is there a way to "stitch together" a single curve out of multiple ones, built using FittedBondDiscountCurve class? Sort of like putting together a piecewise curve, consisting of portions already fitted around some local clusters? I find that building multiple curves that target specific segments of the target universe results in a better model accuracy. If I try to fit all bonds on a single curve, then usually the short end and the long end of the curve show poor model accuracy, I use nelson-siege-svensson fitting. 

For example, if I took a bunch of bonds, then split them into 3 groups and fitted them using FittedBondDiscountCurve, and thus built 3 "local" curves, focusing on short-end, long-end and the "middle" maturity range of those bonds - I would end up with 3 curves. I really want a single curve as the final product that would have the same predictive power as these 3 curves together.

What would be some good techniques in stitching these curves together, and getting to a single curve as the final product?

Thanks,
Dima