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

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

Hello Mike,

thanks for your answer. I totally agree with the fact that you should
consider the maturity of the underlying, but I think the market convention
is to take the IMM maturity date (cf for example the book "the Eurodollar
Futures and Options Handbook", co-written with the CME). All the pricers I
know are using this convention as well. Do you know if there is a way of
switching to this convention ?

Thanks a lot for your help.



Mike DelMedico wrote:
> 
> 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.
>> >
>> >
>>
>> --
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>>
>>
>>
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