Bootstrapping Yield Curve

Bootstrapping Yield Curve

Postby StefanoCenna » Sat Nov 21, 2015 11:29 am

Hello everybody, I want to implement a class that performs the bootstrapping from Euro swap curve ( Ex S45 in Bloomberg ) to a zero curve in C ++ and plug it directly into a dll.
Do you know if there is free code and documentation on this topic?
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