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Re: [Quantlib-dev] MulticurveBootstrapping example, ois weekly rate helper.
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From: Luigi B. <lui...@gm...> - 2019-04-08 15:36:40
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I guess it was copied wrong. Thanks for the heads up. Luigi On Tue, Apr 2, 2019 at 2:11 PM Theo Boafo via QuantLib-dev < qua...@li...> wrote: > 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 not > the 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 > ********************************************* > _______________________________________________ > QuantLib-dev mailing list > Qua...@li... > https://lists.sourceforge.net/lists/listinfo/quantlib-dev > |
