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I'm new using QuantLib. I would like to construct a bond curve using some parameters of NS model. All I found was the other way around, give some bonds and get the parameters.

For example, I want to construct a bond curve using NS with parameters [0.03;-0.02;0; 0.17; 0.08].

I tried to use "setPricingEngine" or "DiscountingBondEngine" what I was not lucky.

Any comment would be very helpful.

Thank You

user2741289
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1 Answers1

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There's no such possibility at this time. To enable it, you could do something like:

  • Add a constructor to the NelsonSiegelFitting class that takes the parameters and uses them to fill the solution_ array;
  • Add a constructor to the FittedBondDiscountCurve class that takes a pre-built fitting method and no bonds.
  • modify the calculate method of FittedBondDiscountCurve so that it skips the optimization if no bonds were given.

This way, you could build the NS fitting with the desired parameters, pass it to the curve, and then use the curve in the discounting engine.

If you manage it, please consider contributing your changes to the library.

Luigi Ballabio
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  • Thax Luigi! Right now I'm using QuantLib in python, but hopfully I will contribute to quantilb in the future, its a really nice lib. Regards, – user2741289 Aug 30 '17 at 01:50