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[Quantlib-users] Soft curve bootstrapping
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From: Peter C. <pca...@gm...> - 2019-12-23 19:35:08
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Hi Luis, I don’t have access to BBG, but what I heard is that it doesn’t account for historical fixings in the first SOFR future and corrects this via the first convexity adjustment. Which could explain the -17bp that wouldn’t make sense otherwise really. Does the match improve if you set the first convexity adjustment to zero in QL (it will be close to zero anyhow)? Alternatively you can try to imitate the (supposed) BBG behaviour by hacking OvernightIndexFuture::spotValue() and ignore past fixings there. Although I’d assume that (if true) it is a temporary workaround in BBG until they have full support for OI Futures in their rate curves. Best Regards Peter > On 20 Dec 2019, at 14:43, Luis Chion via QuantLib-users <qua...@li...> wrote: > >> >> Hi Users, >> >> I am having issues bootstrapping a SOFR curve as of 12/9/2019. >> >> For some reason, I cannot match bbg zero rates implied by SOFR future prices. >> >> >> date,inst types,bbg,ql,diff (bps) >> >> 2019-12-12,DEPOSIT, 1.56, 1.5599999999942327, -5.767386568322763e-10 >> >> 2019-12-18,FUTURE, 1.568613436, 1.716363790565123, 14.77503545651231 >> >> 2020-03-18,FUTURE, 1.606551583, 1.7386935652642377, 13.214198226423779 >> >> 2020-06-17,FUTURE, 1.563895165, 1.6765124642604823, 11.261729926048236 >> >> 2020-09-16,FUTURE, 1.525723481, 1.6251464188435927, 9.942293784359268 >> >> 2020-12-16,FUTURE, 1.48991798, 1.581612457641035, 9.169447764103511 >> >> 2021-03-17,FUTURE, 1.460013164, 1.5422838839052044, 8.22707199052044 >> >> 2021-12-13,OIS, 1.408999591, 1.408339463335495 ,-0.06601276645048504 >> >> 2022-12-12,OIS, 1.394251796, 1.3938156523136014, -0.04361436863986601 >> >> 2023-12-11,OIS, 1.394034072, 1.3937062645517084, -0.03278074482915283 >> >> 2024-12-11,OIS, 1.407275117, 1.4070105671288413, -0.026454987115864803 >> >> 2026-12-11,SWAP, 1.444316342, 1.4440678416696384, -0.02485003303616118 >> >> 2029-12-11,SWAP, 1.52886328, 1.528726756568921, -0.01365234310788388 >> >> 2031-12-11,SWAP, 1.576241966, 1.5761126267198833, -0.01293392801167137 >> >> 2034-12-11,SWAP, 1.626028208, 1.6258665540082484, -0.01616539917514981 >> >> 2039-12-12,SWAP, 1.671433187, 1.6712961036062346, -0.01370833937655025 >> >> 2044-12-12,SWAP, 1.680619516, 1.6805707337108844, -0.004878228911553428 >> >> 2049-12-13,SWAP, 1.669136312, 1.669085670799264, -0.00506412007359458 >> >> 2059-12-11,SWAP, 1.630471713, 1.630479205324531, 0.0007492324531011008 >> >> 2069-12-11,SWAP, 1.57391037, 1.574074913565715, 0.016454356571515838 >> >> >> From the results below, it seems that I may not be passing the Sep 19 convexity adjustment (-0.17083) correctly. >> >> Please see the sofr curve implementation below. I really appreciate if you could provide some guidance. >> >> >> Thanks a lot in advance, >> >> >> Luis Chion |
