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

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

Hello Damiano,
    the Python wrappers automatically pass to the curve the
`additionalErrors` functor defined in listing 2 of the paper.  You can see
the code at <
https://github.com/lballabio/QuantLib-SWIG/blob/master/SWIG/piecewiseyieldcurve.i#L143>
from line 143 until the end of that file.

Hope this helps,
    Luigi


On Sun, Feb 26, 2023 at 9:54 AM Damiano Peinetti <dap...@gm...>
wrote:

> 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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