- Joined
- 11/5/14
- Messages
- 295
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- 53
Hi friends,
I read that, the famous paper Everything You Always Wanted to Know About Multiple Interest Rate Curve Bootstrapping but Were Afraid to Ask by Ametrano and Bianchetti discusses is a nice way to know more about the multi-curve framework modelling. Apparently, I am also given to understand that Luigi and Goutham's book QuantLib using Python also tries to produce the results in the paper.
I am interested to know how discount factor curves are built from scratch in today's setting. I was wondering, if it might be a good idea for a self-learning(DIY) project to implement bootstrapping independently in C++(MS VS2019). My plan is to do a bare-bones implementation of all of the functionality needed, solvers, interpolator. I wouldn't like to use QL classes, but perhaps refer to them.
I have just begun reading Schreve's book and Stochastic Calculus basics, so I am not sure, if I'll follow the entire paper. I just plan to read it on the go. What are your views? Any tips and suggestions would be awesome.
I read that, the famous paper Everything You Always Wanted to Know About Multiple Interest Rate Curve Bootstrapping but Were Afraid to Ask by Ametrano and Bianchetti discusses is a nice way to know more about the multi-curve framework modelling. Apparently, I am also given to understand that Luigi and Goutham's book QuantLib using Python also tries to produce the results in the paper.
I am interested to know how discount factor curves are built from scratch in today's setting. I was wondering, if it might be a good idea for a self-learning(DIY) project to implement bootstrapping independently in C++(MS VS2019). My plan is to do a bare-bones implementation of all of the functionality needed, solvers, interpolator. I wouldn't like to use QL classes, but perhaps refer to them.
I have just begun reading Schreve's book and Stochastic Calculus basics, so I am not sure, if I'll follow the entire paper. I just plan to read it on the go. What are your views? Any tips and suggestions would be awesome.
