Re: [Quantlib-dev] Boostrapping TS in QuantLibXL

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

On Mar 28, 2007, at 9:36 PM, eric ehlers wrote:
> 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.

Is 5 necessary? During bootstrapping, the curve is extended at each new 
node so that it covers all times needed by the corresponding helper.

Luigi