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

[Mike D. <mik...@gm...>]

Technically, you don't want the third Wednesday of the month, as that would
result in the incorrect time period for the rate that is underlying the
future.  The ED future is basically a 3M FRA (albeit convexity-less) that
"fixes" on T-2 days before the IMM date (on the Monday), has value date of
the following Wednesday, and matures 3M forward from the value date.  Many
people make the (technically incorrect) assumption that the underlying rate
goes from IMM date to IMM date.

On Mon, Mar 7, 2011 at 4:28 PM, GL_QL <gl...@co...> wrote:

>
> 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.
> >
> >
>
> --
> View this message in context:
> http://old.nabble.com/Yield-Curve---Calendar-Issue-tp31070816p31092411.html
> Sent from the quantlib-users mailing list archive at Nabble.com.
>
>
>
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