[Quantlib-users] Floating Rate bond pricing related questions in QL and QLXL

[christos.arvanitis <arv...@pi...>]

Hello to everyone 
I have some questions related in general with the pricing of Floating Bonds
in QL and QLXL


1. Question
Started from the QL example FittedBondCurve.cpp I have managed to understand
it and compiled fine and ok! Then i have altered a bit the code trying to
test my understanding. I have altered the part of the shifted YC
calculations for instance as:

for (Size k=0; k<LENGTH(mat_fix)-1; k++) { //start from 0


        	// retrieve quote object &amp; value from instruments
        	Real P = instrumentsB[k]->quote()->value();

        	 // retrieve bond object from instruments
            const Bond& b = *instrumentsB[k]->bond();


            // Calculate YTM
            // BondFunctions is a structure containing Bond calculation 
methods
            Rate ytm = BondFunctions::yield(b,             // Bond object
            								P,             // value clean price
                                            dc_AA,         // day-counter
                                            Compounded,    // compounding
                                            Annual,        // freq
                                            today);        // calculation
date



            // Calculate Duration
            Time dur = BondFunctions::duration(b,           // Bond object
            								   ytm,         // yield
                                               dc_AA,       // day-counter
                                               Compounded,  // compounding
                                               Annual,      // freq
                                               Duration::Modified,  //
modified duration
                                               today);      // calculation
date



            // Calculate Convexity
            Real convexity = BondFunctions::convexity(b,
            										  ytm,
            										  dc_AA,
            										  Compounded,
            										  Annual,
            										  today);


            // Rate shift
            const Real bpsChange = 5.;

            // dP = -dur * P * dY+0.5*P^2*convexity*dy^2

                          // duration correction
            Real deltaP = -dur * P * (bpsChange/10000.)
            		       // convexity  correction
            		       +0.5*pow(P,2)*convexity*pow(bpsChange/10000.,2);

            // set calculate corrected values

             quote[k+1]->setValue(P + deltaP);

        }


the instumentsB is the ususal vector of bond helpers 

the above code part fails to compile with the error

*..\main.cpp:1409:14: error: 'quote' was not declared in this scope *


2. Question
To price a floatter without cap/floor do you always have to specify the
coupon pricer with zero vol?

3. Question
I have created a floating bond with say a cap and to price this bond I have
to specify appart the YC the vol curve and passed to the coupon pricer 
a. Appart the blackcoupon pricer what other pricer classes can i use 
b. can you provide with a sample code for the stripping of capplets and
calculation of vol surface

4. Question
I tried also to implement part of the calculation using the SWIG Python
Bindinds. I have remarked that there are no available bindings for the
Nelson siegel method. Is this because it is hard to expose the class to
python?

5. Question
Then to go further i have tried to implement the full floating bond
valuation in QLXL.
I have managed to reproduce the pricing and risk figures in accordance with
Bloomberg but its worth to mention few questions i had 
I have remarked the following things: 

a. All setting being equal between the Bloomberg and qlxl i have remarked
that the next coupon function for floatter has a permanet 1-2 days diff with
bloomberg for some not all the floatters i have tested. 
I will retest the settings again and repost back in case the issue persists 

b. In QLXL only the blackiborcoupon pricer is exposed are there any other
possibilities?

c. In QLXL there is no bindinds for the Nelson siegel method the only
posiibility being the piecewise bootstrapping.Are they dificult to expose
this class in xl?


I thing i have to stop here for the moment 


Thank you very much in advance for your help

Regards
Christos








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