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

[Luigi B. <lui...@gm...>]

Hi David,
    calling the nodes() method on a bootstrapped curve will give you the
set of dates and values resulting from the bootstrap. Depending on the type
of your curve, they could be dates and discount factors, or dates and zero
rates, or dates and forward rates.  You can build a curve with the same
data and interpolation by feeding them back to the corresponding
interpolated class; e.g., nodes from PiecewiseYieldCurve<Discount,
LogCubic> would go into building an InterpolatedDiscountCurve<LogCubic>,
and nodes from PiecewiseYieldCurve<ForwardRate, BackwardFlat> would go into
an InterpolatedForwardCurve<BackwardFlat>.

Luigi


On Mon, Nov 16, 2020 at 2:36 PM <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
>
>
>
>
> _______________________________________________
> QuantLib-users mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>