Package: curveengine
CurveEngineA simple curve bootstrapping tool. It uses ORE as backend and parses configuration files (see example below) and transform them into QL/ORE objects.DocumentationDocumentation is available athttps://jmelo11.github.io/curveenginedocs/BuildFor building the project, you need to have cmake installed. Then, run the following commands:python -m buildExampleFor a more detail example, visit the example folder.{"refDate":"2023-02-14","curves":[{"curveName":"SOFR","curveConfig":{"curveType":"Piecewise","dayCounter":"Actual360","enableExtrapolation":true,"rateHelpers":[{"helperType":"Deposit","helperConfig":{"dayCounter":"Actual360","tenor":"1D","calendar":"NullCalendar","settlementDays":0,"endOfMonth":false,"convention":"Unadjusted"},"marketConfig":{"rate":{"value":0.0455,"ticker":"SOFRRATE CURNCY"}}},{"helperType":"OIS","helperConfig":{"tenor":"1W","dayCounter":"Actual360","calendar":"NullCalendar","convention":"Following","endOfMonth":true,"frequency":"Annual","settlementDays":2,"paymentLag":2,"telescopicValueDates":true,"index":"SOFR","fixedLegFrequency":"Semiannual","fwdStart":"0D"},"marketConfig":{"rate":{"value":0.045555000000000005,"ticker":"USOSFR1Z CURNCY"}}},{"helperType":"OIS","helperConfig":{"tenor":"2W","dayCounter":"Actual360","calendar":"NullCalendar","convention":"Following","endOfMonth":true,"frequency":"Annual","settlementDays":2,"paymentLag":2,"telescopicValueDates":true,"index":"SOFR","fixedLegFrequency":"Semiannual","fwdStart":"0D"},"marketConfig":{"rate":{"value":0.045568,"ticker":"USOSFR2Z CURNCY"}}},{"helperType":"OIS","helperConfig":{"tenor":"1M","dayCounter":"Actual360","calendar":"NullCalendar","convention":"Following","endOfMonth":true,"frequency":"Annual","settlementDays":2,"paymentLag":2,"telescopicValueDates":true,"index":"SOFR","fixedLegFrequency":"Semiannual","fwdStart":"0D"},"marketConfig":{"rate":{"value":0.04564,"ticker":"USOSFRA CURNCY"}}},{"helperType":"OIS","helperConfig":{"tenor":"3M","dayCounter":"Actual360","calendar":"NullCalendar","convention":"Following","endOfMonth":true,"frequency":"Annual","settlementDays":2,"paymentLag":2,"telescopicValueDates":true,"index":"SOFR","fixedLegFrequency":"Semiannual","fwdStart":"0D"},"marketConfig":{"rate":{"value":0.047723,"ticker":"USOSFRC CURNCY"}}},{"helperType":"OIS","helperConfig":{"tenor":"6M","dayCounter":"Actual360","calendar":"NullCalendar","convention":"Following","endOfMonth":true,"frequency":"Annual","settlementDays":2,"paymentLag":2,"telescopicValueDates":true,"index":"SOFR","fixedLegFrequency":"Semiannual","fwdStart":"0D"},"marketConfig":{"rate":{"value":0.050135,"ticker":"USOSFRF CURNCY"}}},{"helperType":"OIS","helperConfig":{"tenor":"12M","dayCounter":"Actual360","calendar":"NullCalendar","convention":"Following","endOfMonth":true,"frequency":"Annual","settlementDays":2,"paymentLag":2,"telescopicValueDates":true,"index":"SOFR","fixedLegFrequency":"Semiannual","fwdStart":"0D"},"marketConfig":{"rate":{"value":0.051856,"ticker":"USOSFR1 CURNCY"}}},{"helperType":"OIS","helperConfig":{"tenor":"3Y","dayCounter":"Actual360","calendar":"NullCalendar","convention":"Following","endOfMonth":true,"frequency":"Annual","settlementDays":2,"paymentLag":2,"telescopicValueDates":true,"index":"SOFR","fixedLegFrequency":"Semiannual","fwdStart":"0D"},"marketConfig":{"rate":{"value":0.042443,"ticker":"USOSFR3 CURNCY"}}},{"helperType":"OIS","helperConfig":{"tenor":"5Y","dayCounter":"Actual360","calendar":"NullCalendar","convention":"Following","endOfMonth":true,"frequency":"Annual","settlementDays":2,"paymentLag":2,"telescopicValueDates":true,"index":"SOFR","fixedLegFrequency":"Semiannual","fwdStart":"0D"},"marketConfig":{"rate":{"value":0.037866,"ticker":"USOSFR5 CURNCY"}}},{"helperType":"OIS","helperConfig":{"tenor":"7Y","dayCounter":"Actual360","calendar":"NullCalendar","convention":"Following","endOfMonth":true,"frequency":"Annual","settlementDays":2,"paymentLag":2,"telescopicValueDates":true,"index":"SOFR","fixedLegFrequency":"Semiannual","fwdStart":"0D"},"marketConfig":{"rate":{"value":0.035910000000000004,"ticker":"USOSFR7 CURNCY"}}},{"helperType":"OIS","helperConfig":{"tenor":"10Y","dayCounter":"Actual360","calendar":"NullCalendar","convention":"Following","endOfMonth":true,"frequency":"Annual","settlementDays":2,"paymentLag":2,"telescopicValueDates":true,"index":"SOFR","fixedLegFrequency":"Semiannual","fwdStart":"0D"},"marketConfig":{"rate":{"value":0.03464,"ticker":"USOSFR10 CURNCY"}}}]},"curveIndex":{"indexType":"OvernightIndex","tenor":"1D","dayCounter":"Actual360","currency":"USD","fixingDays":0,"calendar":"NullCalendar","endOfMonth":false,"convention":"Unadjusted"}}]}