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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.
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.
