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

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

Thanks Luigi!

That seems to be exactly what I am after: to save the minimum data set that will let me efficiently re-create a curve in memory.

 

Best wishes,

 

David

 

From: Luigi Ballabio <lui...@gm...> 
Sent: Monday, 16 November 2020 13:49
To: da...@el...
Cc: QuantLib users <qua...@li...>
Subject: Re: [Quantlib-users] How best to store historical yield curves?

 

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... <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





_______________________________________________
QuantLib-users mailing list
Qua...@li... <mailto:Qua...@li...> 
https://lists.sourceforge.net/lists/listinfo/quantlib-users