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

[Damiano P. <dap...@gm...>]

Thanks a lot!
Damiano

On Fri, Mar 3, 2023 at 5:04 PM Trent Maetzold <tr...@ma...> wrote:

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