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3 questions
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How to Bootstrap a daily compounding future in QuantLib
Hi I am currently tying to bootstrap the F-TIIE curve for mexican swaps
In the short term it uses the F-TIIE Futures.
These F-TIIE futures are 1 month futures that start on the first day of the month ...
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2
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Using Yield Term Structure for Bond Pricing in QuantLib: Is a Zero-Coupon Curve Necessary?
I've been using QuantLib for constructing a yield curve and pricing a bond. I am wondering if I'm using the correct method to create my yield term structure (yts) ...
- 407
0
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Quantlib Piecewise CubicZero Bond Curve Bootstrap
I am looking for more details on Piecewise Cubic Zero for bootstrapping/interpolating treasury curve ? Does quantlib uses Cubic interpolation or Cubic Spline interpolation ? If Cubic interpolation ...