Re: [Quantlib-users] How best to store historical yield curves?

[Amine I. <ami...@gm...>]

Hi David,

If all you have is market instrument quotes then I would assume there is no way to avoid bootstrapping first, but if you already have discount factors for a set of dates, the DiscountCurve class has a constructor that takes dates and discount factors as inputs...

Hope this helps,

Amine Ifri

> On 16 Nov 2020, at 13:35, da...@el... wrote:
> 
> 
> Hi everyone,
> 
> My apologies if this has been covered before, but here goes:
> 
> I’d like to store curves, to build up a history. Eg, store a history of Euribor 6m curves, and EONIA curves, constructed from historical data. I could simply serialize every object that each curve requires (ratehandlers etc) and rebuild as needed, but is there a more efficient way? A set of dates and discount factors perhaps? I don’t necessarily want to “re-bootstrap” every curve for each day.
>  
> Thanks as always,
> 
> David
> 
> 
> 
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