[Quantlib-dev] Yield Curve Boostraping Improvements

[newbie73 <lui...@av...>]

So far I've been quite happy with the functionality in the QuantLib library -
I'd like to start using it to compare to market pricing.  I've found that
the curve stripping methodology produces extremely jagged forward curves
which result in poor pricing of several market structures.

I'd like to add a curve stripping methodology that I've been using with an
internal library at my current work though I definitely need some help in
adding such a change to the library.

Also, some algorithmic help in dynamically selecting knot points would be
much appreciated as well.  The basic idea is the creation of a smooth
interpolation method for a selected set of knot points for a given curve. 
This is done using an exponential spline across the term structure.

Let me know if anyone can help me with this, I'd be glad to discuss the
algorithm further if the support is there.

- Luis
-- 
View this message in context: http://www.nabble.com/Yield-Curve-Boostraping-Improvements-tf4548647.html#a12980121
Sent from the quantlib-dev mailing list archive at Nabble.com.