Matching the Bloomberg Curve S45 with QuantLib
8 Pages Posted: 27 Jul 2020
Date Written: June 28, 2020
In this short note we summarise one of the results achieved in a project conducted by SoftSolutions! with the goal of aligning some of the bond analytics result in their system nexRates with those that are produced in Bloomberg. By adding a global bootstrapper to the QuantLib library we are able to apply a certain smoothing algorithm to the Euribor 6M curve bootstrapping. Thereby we achieve a very close match of the corresponding Bloomberg S45 curve, which is the basis for the computation of the Z-Spread for bonds.
Keywords: Interest Rate Curve, Bloomberg
JEL Classification: C00, G10
Suggested Citation: Suggested Citation