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

[<da...@el...>]

Thanks Amine,

I had planned to run a one-time historical batch build that would run through one day at a time, collect that day’s data, bootstrap the curve and save it. Then maintain that history daily with new curves.

David

 

From: Amine Ifri <ami...@gm...> 
Sent: Monday, 16 November 2020 13:39
To: da...@el...
Cc: qua...@li...
Subject: Re: [Quantlib-users] How best to store historical yield curves?

 

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... <mailto: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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