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

[<ben...@ma...>]

>From QuantlibXL you can serialize into XML. I have used this and it works
quite well,  but that is probably not that useful if your client is not
Excel.  From Python I don’t think that Quantlib supports serialization but I
am not 100% sure on that. I did take a quick look at Pickle in python, but
did not get to the testing stage.

 

From: da...@el... <da...@el...> 
Sent: Tuesday, 17 November 2020 12:34 AM
To: qua...@li...
Subject: [Quantlib-users] How best to store historical yield curves?

 

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