Re: [Quantlib-users] Building SOFR curve

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

To get started, a simpler version is also in the examples:

https://github.com/lballabio/QuantLib/blob/master/Examples/MulticurveBootstrapping/MulticurveBootstrapping.cpp

Luigi


On Fri, Sep 29, 2023 at 6:57 PM Mike DelMedico <mik...@gm...>
wrote:

> Hi there,
>
> I started here to get familiar with everything in the library:
>
> https://leanpub.com/quantlibpythoncookbook/
>
> Note that if you want to make the stairstepped front end of the curve you
> will have to do some tricks with zero coupon rate helpers, but it’s not
> crazy complicated once you get the ball rolling. There might be a more
> efficient way to do it but that would be best answered by someone else that
> knows the library better.
>
> Another helpful source for the front end would be this:
>
>
> https://www.cmegroup.com/market-data/files/cme-term-sofr-reference-rates-benchmark-methodology.pdf
>
> Hope that helps.
>
> -Mike
>
>
>
> On Fri, Sep 29, 2023 at 11:35 Brian Smith <bri...@gm...>
> wrote:
>
>> Hi,
>>
>> Appreciate, if someone can provide some insight on below request.
>>
>> Thanks and regards,
>>
>> On Thu, 28 Sept 2023 at 01:51, Brian Smith <bri...@gm...>
>> wrote:
>> >
>> > Hi,
>> >
>> > I am looking for some work-out examples on construction of SOFT curve
>> > given various market instruments (mostly OIS) either with Python or
>> > C++
>> >
>> > Could you please point some useful sources on construction of SOFR
>> > curve using QL?
>> >
>> > Many thanks for your time.
>>
>>
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