Re: [Quantlib-users] IMM rolls

[Mike D. <mik...@gm...>]

Glad it worked.  When I build the schedules, the dates seem to flow fine,
so not sure why your end date wouldn't line up with the proper final IMM
date.  See below:

floatSchedule = ql.Schedule(effectiveDate,
                            maturityDate,
                            ql.Period(3, ql.Months),
                            calendarUSD_FedFund,
                            ql.ModifiedFollowing,
                            ql.ModifiedFollowing,
                            ql.DateGeneration.ThirdWednesday,
                            False)

for i in floatSchedule:
    print(i)

June 17th, 2020
September 16th, 2020
December 16th, 2020
March 17th, 2021
June 16th, 2021
September 15th, 2021
December 15th, 2021
March 16th, 2022
June 15th, 2022
September 21st, 2022
December 21st, 2022
March 15th, 2023
June 21st, 2023


On Tue, Jun 2, 2020 at 2:50 PM Tom Anderson <tw...@ur...> wrote:

> 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 ;)
> >>
> >>
> >> _______________________________________________
> >> QuantLib-users mailing list
> >> Qua...@li...
> >> https://lists.sourceforge.net/lists/listinfo/quantlib-users
> >>
> >
>
> --
> There are only two hard things in computer science: cache invalidation,
> naming things, and off-by-one errors. -- anonymous