Re: [Quantlib-dev] boostraping a YC in the past

[Ferdinando A. <na...@am...>]

Hi Fran=E7ois

my suggestion is:

loop currentDate backward from the latest date to the earliest one
    get fixings from Indexes and set them to your relevant Quotes
    set the EvaluationDate equal to currentDate
    (re-)build RateHelpers and YieldCurve
    calculate forward rates at constant interval (e.g. 6M), not constant da=
tes
    calculate fwd rate differences, and add them to a SequenceStatistics cl=
ass
get correlation from SequenceStatistics

investigate more sophisticated alternatives only when this very basic
approach is working...

ciao -- (your current manager :-) Nando


On 5/31/07, DU VIGNAUD DE VILLEFORT FRANCOIS GASAPRD PHI
<fra...@ca...> wrote:
>
>
>
>
> Hi all,
>
>
>
>
>
> I try to boostrap a YC in the past (to compute a some historical correlat=
ion
> matrix). Ideally I would like to change the evaluation date and use the
> index historical values stored in the corresponding time serie. Yet I hav=
e
> the impression that if one changes the evaluation date YC are bootstraped=
 as
> of this date using the values provided by the quotes (instead of the
> historic fixings). Any idea ?
>
> Fran=E7ois
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