bloomberg or reuters can give you already bootstrapped curve in format [date] [discount factor]
here we’ll show a quantlib yield curve example construction
yield curve normally is used for getting a discount factor for a given date and for calculating euribor forwards
here we’ll show code snippet with quantlib which show show to use these functions
market date example:
valuation date: 31/dec/2012
[date] [discount factor]
30/12/2013 0.99
30/12/2014 0.98
we’ll calculate discount factor for 25/june /2013 and euribor forward 6m for the same date
#include <ql/quantlib.hpp> using namespace std; using namespace QuantLib; using namespace boost; int main() { vector<Date> dates; vector<DiscountFactor> discountFactor; Date valuationDate(31,December,2012); dates.push_back(valuationDate); discountFactor.push_back(1.0); dates.push_back(Date(30,December, 2013)); discountFactor.push_back(0.99); dates.push_back(Date(30,December, 2014)); discountFactor.push_back(0.98); shared_ptr<YieldTermStructure> curve(new InterpolatedDiscountCurve<LogLinear>(dates,discountFactor,Actual360())); //discount factor Date datex(25,June,2013); double discount=curve->discount(datex); //euribor forward Period period(6*Months); boost::shared_ptr<IborIndex> euribor(new Euribor(period)); double forward6m=curve->forwardRate(datex,period,curve->dayCounter(),QuantLib::Compounding::Simple); }