Re: [Quantlib-users] Yield Curve - Calendar Issue

[GL_QL <gl...@co...>]

Hey there,

to be more precise, when I use the FuturesRateHelper function to bootstrap
my yieldcurve, instead of having the maturity of the future as a yield curve
date (3rd wednesday of the month), I get the starting date of the future +
90 days. Is there a way of changing this convention to have the 3rd
wednesday of the month as a yield curve date ?

Thanks in advance.



GL_QL wrote:
> 
> Hey there,
> 
> 
> I am trying to bootstrap a US yield curve in QuantlibXL, but I have issues
> with the dates that I am getting from the function
> qlPiecewiseYieldCurveDates. 
> 
> Let's take for example the curve as of February 28th 2011. For the
> Deposits, I am using the UnitedKingdom::Exchange calendar, then TARGET for
> the Eurodollar futures, and UnitedStates::NYSE for the swaps. 
> When creating the Future Rate Helper, I am using either the IMM codes or
> the IMM dates produced by the function qlIMMNextCodes or qlIMMNextDates. I
> then bootstrap the yield curve.
> 
> When using the function qlPiecewiseYieldCurveDates to get the dates from
> the curve, the dates corresponding to the Eurodollar futures will be
> different from the maturity dates from qlIMMNextDates. For example, March
> 16th 2011 vs March 15th 2011, or September 15th 2011 vs September 21st
> 2011. What is the reason for that, and is there a way of forcing the dates
> ? 
> 
> Thanks for your help.
> 
> 

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