ABSTRACT
This chapter uses object-oriented programming (OOP) techniques to implement the bootstrapping tool. To develop the object-oriented (OO) bootstrapping tool, we decide to implement three classes: a yield curve class, a swap class, and a bootstrapper class. These classes allow us to create yield curve objects, swap objects, and bootstrapper objects, respectively. The OO bootstrapping tool consists of three regular modules and three class modules. The three regular modules include MDate, MHoliday, and MInterface. The advantage of using classes is that Visual Basic for Applications (VBA) keeps a copy of the data contained in an object. By using classes, we can create multiple objects of a class to contain different copies of data. The chapter implements a yield curve class in a class module named CzeroCurve. The module CSwap is a class module implementing an interest rate swap. The bootstrapper class is implemented in the class module CBootstrapper.
