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nikhilessar
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Joined: August 7th, 2007, 6:40 am
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Does anyone has Bloomberg Optimization algorithm for yield curve construction

November 27th, 2016, 12:56 am

While constructing yield curve Bloomberg uses some optimisation algorithm. Does anyone know what that algorithm is? Or to put in another words if I want to program that algorithm myself, what should I do.
 
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list1
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Joined: July 22nd, 2015, 2:12 pm

Re: Does anyone has Bloomberg Optimization algorithm for yield curve construction

November 27th, 2016, 11:27 am

While constructing yield curve Bloomberg uses some optimisation algorithm. Does anyone know what that algorithm is? Or to put in another words if I want to program that algorithm myself, what should I do.
Probably, you should start with identification of the optimization parameter(s)
 
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fulmerspot
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Joined: July 8th, 2009, 12:44 pm

Re: Does anyone has Bloomberg Optimization algorithm for yield curve construction

November 29th, 2016, 1:57 pm

While constructing yield curve Bloomberg uses some optimisation algorithm. Does anyone know what that algorithm is? Or to put in another words if I want to program that algorithm myself, what should I do.
Probably, you should start with identification of the optimization parameter(s)
Bloomberg publish their curve constructioon algorithms - I've spoken with their quants and fixed income specialists about their curve construction techniques - XLTP<GO> lists their available curve construction spreadsheets, from here you should be able to find their papers.
Herr KartoffelKopf
 
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alpher

Re: Does anyone has Bloomberg Optimization algorithm for yield curve construction

December 18th, 2016, 2:10 pm

I don't. But know a guy from a Hong Kong HF who is using it. Pm if it's that important might try to email him and get what you want...
 
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Hansi
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Re: Does anyone has Bloomberg Optimization algorithm for yield curve construction

December 18th, 2016, 9:49 pm

There is no need to go to some random person, just press <HELP><HELP> and they'll get you the required white paper(s).