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!
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
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