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

[Trent M. <tr...@ma...>]

I coded up S45 this morning. I haven't built a curve that used FRAs before so not sure about any peculiarities there as it seems the rates implied by the FRAs are lagged or just plain off by 5 bps or so. If anyone figures out the problem, feel free to open a PR on the below repo. Should be a good starting point though.

https://github.com/trentmaetzold/quantlib-examples/blob/main/curve_s45.py

Trent
------- Original Message -------
On Friday, March 3rd, 2023 at 08:50, Luigi Ballabio <lui...@gm...> wrote:

> 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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