February 10th, 2012, 3:44 pm
QuoteOriginally posted by: BustopherJonesIs it possible to 'freeze' the Jacobian, so that one can omit several bootstrapping processes?The answer seems to be in the question. When you calibrate your curves (bootstrapping or otherwise), you compute the Jacobian between the input market quotes (par rates, price, or spread) and the zero coupons curves (I guess you work in a multi-curves framework). As the curves are simple instruments you should have an explicit computation of the derivatives (for example using algorithmic differentiation). The computation of the full Jacobian should not take more than 2 or 3 times the curve construction time (even if there are 20 points on the curve).For what I know, most of the (professional) systems work in that way. Even if most of them have problems of some type in computing real multi-curve to multi-curve Jacobian.