In the last blog we discovered the enumerations in QuantLib. However we still haven't done anything useful with QuantLib yet.
In this blog we use QuantLib to create and bootstrap a yield curve.

1. Open a new worksheet. Key in meaningful descriptions for various maturities, add quotes, periods and fixing days.

 

It took me a while to figure out how I could "guess" what inputs are expected from a certain function. For example when QuantLib expects and Option Type as an argument, I guessed that it could be "Call" or "Put".

Now, guessing is not what the authors intended their users to do. This is why they documented these "string constants" in the enumerations section. The "string constants" are not really text constants, instead QuantLib uses a "Registration Manager" to translate these string constants into QuantLib Objects.

I only discovered QuantLib yesterday. The potential of the initiative is fantastic and the quality of the work is outstanding. What is missing is documentation that can be understood by beginners in quantitative finance and people who have no experience in using such libraries.

"Enlightenment is man's release from his self-incurred tutelage. Tutelage is man's inability to make use of his understanding without direction from another. Self-incurred is this tutelage when its cause lies not in lack of reason but in lack of resolution and courage to use it without direction from another. Sapere aude! "Have courage to use your own reason!"- that is the motto of enlightenment."

Companies tend to produce more and more security and less and less productivity. Logging instead of shutdown.

In the last 4-5 years a number of high quality open-source libraries for quantitative finance appeared. Outstanding is QuantLib...