Re: [Quantlib-dev] Yield Curve Boostraping Improvements

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

On Mon, 2007-10-01 at 07:20 -0700, newbie73 wrote:

> 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.

Does this depend on the chosen interpolation?

> 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.

"Selecting knot points" as in "choosing which instruments to use among
the available ones" (which is what Nando referred to) or as in "choosing
a set of knots freely, i.e., not necessarily corresponding to instrument
maturities"?

Later,
	Luigi


-- 

This gubblick contains many nonsklarkish English flutzpahs, but the 
overall pluggandisp can be glorked from context. 
-- David Moser