Re: [Quantlib-dev] Boostrapping TS in QuantLibXL

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

On Wed, 2007-03-28 at 22:34 +0200, 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.
> 
> There is one example workbook which sets up a swaption, and in that
> case if you neglect to call qlExtrapolatorEnableExtrapolation() then
> when you ask for the NPV of the swaption it fails with "time (xxx) is
> past max curve time (yyy)". 

I see. You don't need it during bootstrapping then---which was rather
puzzling me---but afterwards, when you try and price a security whose
relevant dates extend past the end of the curve.
In this case 5 is necessary, but it can be done after 7.

Luigi


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