I am pretty new in the Quant areaa and using Quantlib. I found the pretty good introductions concerning bootstrapping in the book QuantLib Python Cookbook by Luigi Ballabio. I wanted to understand the RateHelper in detail and the connection to zero pricing (NPV) in the bootstrapping how it works (which classes are used in Quantlib C++), for Deposits, FRA's or Swap's.

Hope the question is not to simple to ask?


closed as unclear what you're asking by Helin, LocalVolatility, JejeBelfort, chollida, Bob Jansen Jan 26 '18 at 8:01

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    $\begingroup$ What is your question, specifically? $\endgroup$ – g g Jan 20 '18 at 22:04
  • $\begingroup$ I would like to understand Quantlib more. Where is the pricing to zero for the Deposits, FRAs and Swaps in the bootstrapping? Which classes I have to look at and where is the corresponding pricing formula and finding the root? And if possible some examples? Hope it is clearer? $\endgroup$ – NewNY1990 Jan 21 '18 at 21:32
  • $\begingroup$ What do you mean by the price to zero? $\endgroup$ – Jose Pedro Melo Jan 22 '18 at 12:56
  • $\begingroup$ @Jose Pedro Melo,Thanks a lot for the answer. During the bootstrapping the adaption of the last DF until NPV close to zero (fair swap at initiation). This is done with both curves (Forward and Discount Curve) Hope it is clear? $\endgroup$ – NewNY1990 Jan 22 '18 at 13:07

The implementation of the bootstrap procedure in QuantLib is too long to describe here. It is explained at https://www.implementingquantlib.com/2013/10/chapter-3-part-3-of-n-bootstrapping.html; you might also want to look at the previous posts for background.

  • $\begingroup$ Thanks a lot for the reply. Is it possible to have it in few sentences explained and reference the proper class? It can be just short. I just don't see where the pricing to zero for Deposits, Swaps and FRAs is taking place. $\endgroup$ – NewNY1990 Jan 24 '18 at 18:01
  • $\begingroup$ In short: each of the RateHelper classes contain an instance of the corresponding instrument and their impliedQuote method reprices it. The bootstrap procedure compares the calculated price with the quoted one. But you want to read the longer description. $\endgroup$ – Luigi Ballabio Jan 25 '18 at 9:20
  • $\begingroup$ This line of questioning doesn't really work on this site. Please read the faq to learn what we expect. $\endgroup$ – Bob Jansen Jan 26 '18 at 8:01

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