Re: [Quantlib-dev] Serialising YieldTermStructure

[Luigi B. <lui...@gm...>]

Ok, I checked.  Log interpolation is indeed not usable with forward or zero
rates.

Luigi


On Fri, Apr 26, 2019 at 4:04 PM R S <raj...@ho...> wrote:

> I am using the very old version - nothing negative there
>
> BusinessDayConvention depoBizDayConv = ModifiedFollowing;
> DayCounter depoDCC = Actual360();
> vector<Rate> rates;
> rates.push_back(0.0382);
> rates.push_back(0.0372);
> rates.push_back(0.0363);
> rates.push_back(0.0353);
> rates.push_back(0.0348);
> rates.push_back(0.0345);
> /**
> * Derfine deposit ladder
> */
> vector<Period> qlperiods;
> qlperiods.push_back(1 * Weeks);
> qlperiods.push_back(1 * Months);
> qlperiods.push_back(3 * Months);
> qlperiods.push_back(6 * Months);
> qlperiods.push_back(9 * Months);
> qlperiods.push_back(1 * Years);
> /**
> * Populate Deposit Helpers
> */
> rateUtility.depoHelpers(rates, qlperiods, calendar, fixingDays,
> true, depoDCC, depoBizDayConv, helper);
>
> /**
> * Define swap rates
> */
> Frequency swapFixedLegFrequency = Annual;
> BusinessDayConvention swapFixedLegConvention = Unadjusted;
> DayCounter swFixedLegDCC = Thirty360(Thirty360::European);
> boost::shared_ptr<IborIndex> swapFloatingLegIndex(new Euribor6M);
>
> rates.clear();
> rates.push_back(0.037125);
> rates.push_back(0.0398);
> rates.push_back(0.0443);
> rates.push_back(0.05165);
> rates.push_back(0.055175);
> /**
> * define swap ladder
> */
> qlperiods.clear();
> qlperiods.push_back(2 * Years);
> qlperiods.push_back(3 * Years);
> qlperiods.push_back(5 * Years);
> qlperiods.push_back(10 * Years);
> qlperiods.push_back(15 * Years);
> /**
> * Populate Swap Helpers
> */
> rateUtility.swapRateHelpers(rates, qlperiods, calendar,
> swapFixedLegFrequency,
> swapFixedLegConvention, swFixedLegDCC, swapFloatingLegIndex, helper);
>
>
> Regards
> -RS
> On 26 Apr 2019, 14:34 +0100, Luigi Ballabio <lui...@gm...>,
> wrote:
>
> What version of the examples?  In the most recent one, a few of the input
> rates are negatives and log-linear interpolation can't handle them.
>
> Luigi
>
>
> On Tue, Apr 9, 2019 at 9:31 AM R S <raj...@ho...> wrote:
>
>> Yes - I get an error on certain combinations of Trait and. Interpolator
>>
>> For example, with a declaration of PiecewiseYieldCurve<ForwardRate,
>> BackwardFlat>, I can get a dump of dates and rates from the curve
>>
>> However, if I. change the declaration to PiecewiseYieldCurve<ForwardRate,
>> LogLinear>, I get this error:
>>
>> terminate called after throwing an instance of 'QuantLib::Error'
>> what(): 1st iteration: failed at 1st alive instrument, pillar September
>> 29th, 2004, maturity September 29th, 2004, reference date September 22nd,
>> 2004: invalid value (-1) at index 0
>>
>> Process finished with exit code 134 (interrupted by signal 6: SIGABRT)
>>
>> The data is based on the DepoSwap example from the Quantlib Examples
>>
>>
>> Regards
>> -RS
>> On 8 Apr 2019, 16:42 +0100, Luigi Ballabio <lui...@gm...>,
>> wrote:
>>
>> Yes, the bootstrap is done when the curve is first used.  That would be
>> when it's first asked for rates or discounts during swap valuation.
>>
>> What do you mean when you say that some combinations don't work?  Do you
>> get a compile-time error, or does the bootstrap fail at run-time?
>>
>> Luigi
>>
>>
>> On Wed, Mar 27, 2019 at 10:18 PM 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?
>>>
>>>
>>>