Bojan Nikolic: Using and Understanding the QuantLib Addin

[website home] | [BN Algorithms]

“Rate Helpers” in QuantLib

“Rate Helpers” in QuantLib are objects with a role to take a yield term structure as an input, compute the price of a market instrument that this yield term structure implies, and compare this implied value to a price quoted or traded in the market.

Rate helpers are often used in the process bootstrapping or calibrating yield term structures: the bootstrapping/calibration process simply iteratively tries to minimise the discrepancy between the implied and quoted prices of instruments contained in the rate helpers.

Previous topic

Periods of time in QuantLib

Next topic

TARGET Calendar