Re: [Quantlib-users] Curve BLOOMBERG CURVE S45 replication

[Jake H. <jak...@gm...>]

Hi Damiano,
I never tried to implement the paper in Python but I can suggest David
Duarte's resource:
https://quantlib-python-docs.readthedocs.io/_/downloads/en/latest/pdf/
As far as I know he is maintaining a pretty huge piece of document about
the usage of the QuantLib C++ objects in Python.
I don't know if you already check them all, maybe you can find also
something interesting here:
https://www.quantlib.org/docs.shtml
It will probably require a good amount of digging :-)
Hope that helps!


Il giorno dom 26 feb 2023 alle ore 09:52 Damiano Peinetti <
dap...@gm...> ha scritto:

> Hi, I'm trying to replicate the paper MATCHING THE BLOOMBERG CURVE S45
> WITH QUANTLIB
> available at https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3640517
>
> My problem is to translate the c++ code in Python, I looked at this
> example:
>
> https://github.com/lballabio/QuantLib-SWIG/blob/master/Python/examples/global-bootstrap.py
>
> but I have no clue on how to correctly implement the additionalErrors
> function (what is its return type, how I link the FraHelpers to the
> iteratively bootstrapped termstructure...).
>
> Could you help me with this?
> Thanks in advance,
> Damiano
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