wilmott.com

I understand that most major banks no longer use bootstrapping to derive libor and ois discount factors but use minimisers as a simpler method.Can anyone point to any further information about this methodology? There seems to be little in the public domain or maybe that's just my man looking (as my wife would say).

The Andersen-Piterbarg book has a chapter on yield curve construction.For swap market curves (Libor, OIS), you could model them using some kind of spline and use a nonlinear solver to obtain the spline's parameters. No need for a minimizer here and you'd calibrate to your inputs exactly.

My new book "Interest Rate Modelling in the Multi-Curve Framework: Foundations, Evolution and Implementation" has a couple of chapters about curve definition, curve calibration, interpolation, global fitting and curve risk.For sale in any good bookshop More details at: http://multi-curve-framework.blogspot.com

Bootstrapping is good way to prepare an initial guess for the minimiser.

Thanks all.Mathmarc - Any chance of uploading a sample chapter sample of your book? It looks good but there's no sample on Amazon to look at. I'm just concerned it might be too mathematical for me.

QuoteOriginally posted by: miltenpointThanks all.Mathmarc - Any chance of uploading a sample chapter sample of your book? It looks good but there's no sample on Amazon to look at. I'm just concerned it might be too mathematical for me.The introduction chapter is available on the editor web site and on the book's blog: http://www.palgrave.com/resources/sampl ... sample.pdf