Re: [Quantlib-users] IMM rolls

[Tom A. <tw...@ur...>]

That mostly does it, thanks!

For some reason, i had assumed that the accrual periods for each coupon 
were based directly on the frequency or index tenor, rather than running 
to the next date. Too much time spent looking at futures bundles probably.

It seems like i also need to tweak the end date. ThirdWednesday 
specifically doesn't do that.

tom

On Fri, 29 May 2020, Mike DelMedico wrote:

> I’m pretty sure you just flip the generator from ‘Backward” to
> “ThirdWednesday” and you should be good to go.
>
> These are very common use now given everyone’s desire to minimize line
> items. Much easier to compress a book of swaps that have all the cashflow
> dates lined up instead of a book with dozens of different reset dates.
>
> The other popular flavor is IMM effective but with standard rolls.
>
> -Mike
>
>
> On Fri, May 29, 2020 at 12:45 Tom Anderson <tw...@ur...> wrote:
>
>> Hello,
>>
>> There are some dreadful interest rate swaps which use "IMM rolls" - the
>> cashflows are on quarterly IMM dates, and the cashflow reflects an accrual
>> over the period from that IMM date to the next one.
>>
>> (I think. I can't find a precise definition of how these swaps work. They
>> just exist.)
>>
>> Does QuantLib support such swaps?
>>
>> I can generate a custom Schedule where cashflows are on IMM dates, but i
>> don't know of a way to tweak the accrual periods for each cashflow.
>>
>> Thanks,
>> tom
>>
>> --
>> 12:28 <@ashak> why wouldn't you run it as root? Yuo don't get permission
>> denied's on things then ;)
>>
>>
>> _______________________________________________
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>>
>

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