Menu
▾
▴
Re: [Quantlib-dev] MulticurveBootstrapping example, ois weekly rate helper.
|
From: Theo B. <tb...@ao...> - 2019-04-02 12:10:14
|
Hi Quantlib, Any reason why for the MulticurveBootstrapping example, the respective ois rate helpers as per code snippet below are using only the ois 1 week quote and notthe corresponding week quote as defined in the code? I saw this a whilst back but seems its in the current release. ext::shared_ptr<RateHelper> ois1W(new OISRateHelper( 2, 1 * Weeks, Handle<Quote>(ois1WRate), eonia)); ext::shared_ptr<RateHelper> ois2W(new OISRateHelper( 2, 2 * Weeks, Handle<Quote>(ois1WRate), eonia)); ext::shared_ptr<RateHelper> ois3W(new OISRateHelper( 2, 3 * Weeks, Handle<Quote>(ois1WRate), eonia)); ext::shared_ptr<RateHelper> ois1M(new OISRateHelper( 2, 1 * Months, Handle<Quote>(ois1WRate), eonia)); Regards Theo -----Original Message----- From: quantlib-dev-request <qua...@li...> To: quantlib-dev <qua...@li...> Sent: Thu, 28 Mar 2019 4:33 Subject: QuantLib-dev Digest, Vol 149, Issue 11 Send QuantLib-dev mailing list submissions to qua...@li... To subscribe or unsubscribe via the World Wide Web, visit https://lists.sourceforge.net/lists/listinfo/quantlib-dev or, via email, send a message with subject or body 'help' to qua...@li... You can reach the person managing the list at qua...@li... When replying, please edit your Subject line so it is more specific than "Re: Contents of QuantLib-dev digest..." Today's Topics: 1. Re: Serialising YieldTermStructure (R S) 2. Fed Fund futures (Ben Watson) ---------------------------------------------------------------------- Message: 1 Date: Wed, 27 Mar 2019 21:18:02 +0000 From: R S <raj...@ho...> To: Luigi Ballabio <lui...@gm...> Cc: QuantLib developers <qua...@li...> Subject: Re: [Quantlib-dev] Serialising YieldTermStructure Message-ID: <DB7...@DB...> Content-Type: text/plain; charset="utf-8" Thanks for this tip on this serialisation. I attach the results of running Swap pricing with PiecewiseYieldCurve<Discount,LogLinear> versus InterpolatedDiscount<LogLinear> curve (I get similar results when I compare PiecewiseYieldCurve<ForwardRate,BackwardFlat> with InterpolatedDiscount<BackwardFlat>) As you can see, the curve generation time remains unchanged but the swap valuation time is halved (all times in nanoseconds) Is this because the bootstrapping occurs only when NPV on the swap is called? Also, I noticed that certain Trait?s work only with certain interpolators. For example, ForwardRate trait only works with BackwardFlat. Are the valid combinations documented somewhere? Regards -RS On 11 Mar 2019, 16:31 +0000, Luigi Ballabio <lui...@gm...>, wrote: You can use the InterpolatedForwardCurve class, which is used underneath PiecewiseYieldCurve when you select the ForwardRate traits. Once you bootstrap your curve, extract curve.dates(), curve.forwards() and curve.dayCounter() and serialize them. Later, deserialize them and pass them to the InterpolatedForwardCurve constructor. You'll have to instantiate it with the same interpolator you used for the bootstrap, so, for instance, PiecewiseYieldCurve<ForwardRate, BackwardFlat> can be deserialized into an InterpolatedForwardCurve<BackwardFlat>. Other traits have corresponding interpolated curves. Hope this helps, Luigi On Fri, Mar 1, 2019 at 5:50 PM rajs1 <raj...@ho...> wrote: I have seen quite a few older posts on this. What I am trying to do is to send the curve(s) data (in AVRO) along with the swaptrade (AVRO) together. I want to avoid the bootstrap process - so want to resurrect YieldTermStructure from, say, forward rates From 2012, this link: http://quantlib.10058.n7.nabble.com/How-to-construct-a-curve-from-forward-rates-by-using-function-qlInterpolatedYieldCurve-td5242.html talks about building a PiecewiseYieldCurve with TraitsID=ForwardRate. The curve points will be represented internally as forward rates from which - I presume - one could get back to YieldTermStructure. However, most examples deal with QuantlibXL addin. Is there anyone who could point me to a bare bones C++ skeleton (on which I can build and test please)? If there are alternative ideas - I am happy to try and even post back blogs for posterity. Thanks in advance ________________________________ Sent from the quantlib-dev mailing list archive at Nabble.com. _______________________________________________ QuantLib-dev mailing list Qua...@li... https://lists.sourceforge.net/lists/listinfo/quantlib-dev -------------- next part -------------- An HTML attachment was scrubbed... -------------- next part -------------- An embedded and charset-unspecified text was scrubbed... Name: comparison.txt ------------------------------ Message: 2 Date: Thu, 28 Mar 2019 12:07:24 +0800 From: Ben Watson <ben...@ma...> To: qua...@li... Cc: qua...@li... Subject: [Quantlib-dev] Fed Fund futures Message-ID: <CAD...@ma...> Content-Type: text/plain; charset="utf-8" Hi there, Just a quick question, does quantlib support fed fund futures. The use case is for an OIS curve that includes these futures as part of curve construction. Regards Ben On Thu, 28 Mar. 2019, 5:18 am R S, <raj...@ho...> wrote: > Thanks for this tip on this serialisation. I attach the results of running > Swap pricing with PiecewiseYieldCurve<Discount,LogLinear> versus > InterpolatedDiscount<LogLinear> curve > (I get similar results when I compare PiecewiseYieldCurve<ForwardRate,BackwardFlat> > with InterpolatedDiscount<BackwardFlat>) > > As you can see, the curve generation time remains unchanged but the swap > valuation time is halved (all times in nanoseconds) > > Is this because the bootstrapping occurs only when NPV on the swap is > called? > > Also, I noticed that certain Trait?s work only with certain interpolators. > For example, ForwardRate trait only works with BackwardFlat. > > Are the valid combinations documented somewhere? > > > > Regards > -RS > On 11 Mar 2019, 16:31 +0000, Luigi Ballabio <lui...@gm...>, > wrote: > > You can use the InterpolatedForwardCurve class, which is used > underneath PiecewiseYieldCurve when you select the ForwardRate traits. > Once you bootstrap your curve, extract curve.dates(), curve.forwards() > and curve.dayCounter() and serialize them. Later, deserialize them > and pass them to the InterpolatedForwardCurve constructor. You'll > have to instantiate it with the same interpolator you used for the > bootstrap, so, for instance, PiecewiseYieldCurve<ForwardRate, > BackwardFlat> can be deserialized into an > InterpolatedForwardCurve<BackwardFlat>. > > Other traits have corresponding interpolated curves. > > Hope this helps, > Luigi > > On Fri, Mar 1, 2019 at 5:50 PM rajs1 <raj...@ho...> wrote: > > > I have seen quite a few older posts on this. What I am trying to do is to > send the curve(s) data (in AVRO) along with the swaptrade (AVRO) together. > I want to avoid the bootstrap process - so want to resurrect > YieldTermStructure from, say, forward rates From 2012, this link: > http://quantlib.10058.n7.nabble.com/How-to-construct-a-curve-from-forward-rates-by-using-function-qlInterpolatedYieldCurve-td5242.html > talks about building a PiecewiseYieldCurve with TraitsID=ForwardRate. The > curve points will be represented internally as forward rates from which - I > presume - one could get back to YieldTermStructure. However, most examples > deal with QuantlibXL addin. Is there anyone who could point me to a bare > bones C++ skeleton (on which I can build and test please)? If there are > alternative ideas - I am happy to try and even post back blogs for > posterity. Thanks in advance > ________________________________ > Sent from the quantlib-dev mailing list archive at Nabble.com. > _______________________________________________ > QuantLib-dev mailing list > Qua...@li... > https://lists.sourceforge.net/lists/listinfo/quantlib-dev > > _______________________________________________ > QuantLib-dev mailing list > Qua...@li... > https://lists.sourceforge.net/lists/listinfo/quantlib-dev > -------------- next part -------------- An HTML attachment was scrubbed... ------------------------------ ------------------------------ Subject: Digest Footer _______________________________________________ QuantLib-dev mailing list Qua...@li... https://lists.sourceforge.net/lists/listinfo/quantlib-dev ------------------------------ End of QuantLib-dev Digest, Vol 149, Issue 11 ********************************************* |
