Probably, you should start with identification of the optimization parameter(s)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.
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.Probably, you should start with identification of the optimization parameter(s)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.