Re: [Quantlib-dev] Boostrapping TS in QuantLibXL

[eric e. <eri...@gm...>]

Hi Aurelien,

On 3/28/07, Aurelien Chanudet <aur...@gm...> wrote:
> Hi Eric, hi all,
>
> What's the smartest way to do the following in QuantLibXL 0.4.0 :
> - boostrap a term structure...
> - based on swap instruments...
> - whose floating legs rely on a shared Euribor object...
> - whose associated (forecasting) term structure is the term structure
> I want to bootstrap ?
>
> It used to be fairly straightforward in 0.3.12 but it appears to be
> more complicated in 0.4.0. The only and somewhat circumvented way I
> was able to do that is :
> 1. create a dummy term structure (say TS1) ;
> 2. create my Euribor object based on TS1 ;
> 3. create swap rate helpers based on my Euribor object ;
> 4. create a term structure (say TS2) ;
> 5. call qlSetEuriborTermStructure to link my Euribor object to TS2 ;
> 6. we're now ready to boostrap TS2 and price some securities.

That's basically it.  Existing QuantLibXL books work as follows:

1. create a dummy term structure (say TS1) ;
2. create my Euribor object based on TS1 ;
3. create swap rate helpers based on my Euribor object ;
4. create a term structure (say TS2) ;
5. call qlExtrapolatorEnableExtrapolation() on TS2
6. bootstrap TS2 based on the rate helpers
7. call qlSetEuriborTermStructure to relink all enumerated Euribor
objects to TS2 ;
8. we're now ready to price some securities.

For an example please see Workbooks\OriginalExamples\MarketData.xls

Regards,
Eric