IRS Vanilla Zero and Forward Curves


#1

Dear All! My problem is following: i’m going to construct Zero and Forward Curves for Interest Rate Plain Vanilla Swap via bootstrapping procedure. I’m using the following methods and parameters: Index Rate: 3M LIBOR; Interpoliation: Piecewise linear; Market data: Cash Rates, Eurodollar Futures and IR Swap. Could you please advise me, what classes should i apply to build Zero and Forward Curves? Do you have any classes to calculate discount factors, spot rates and forward rates to bootstrap such curves? Thank you in advance!


#2

Everything you ask for is possible. The example class SwapPricingWithCalibrationExample demonstrates how to take data (from files) , load it, calibrate the curves and price some swaps. That is the best place to start - run the code, then debug the key parts so you understand it. See also the documentation here.
thanks
Stephen


#3

A post was split to a new topic: Build table with rates