Re: [Quantlib-users] IMM rolls

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

Thanks, Tom.  If you think it would be useful to add code to calculate a
default termination date for the IMM case, may you open an issue on GitHub
so someone may eventually pick it up?

Luigi


On Sun, Jun 7, 2020 at 10:25 PM Tom Anderson <tw...@ur...> wrote:

> (following up mostly for the sake of anyone reading the archives!)
>
> I'm starting with an effective date and a tenor ("computer, what is the
> rate for the two year out of IMM, IMM rolls?"), so i don't have a
> termination date to begin with. I am using MakeVanillaSwap, which requires
> a tenor and index, but makes everything else optional and tries to work it
> out. If you use MakeVanillaSwap with a two-year tenor, an IMM effective
> date, and a ThirdWednesday date generation rule, you get a standard
> termination date, rather than an IMM one. Hence, i need to work out the
> right termination date, and explicitly give it to MakeVanillaSwap.
>
> tom
>
> On Tue, 2 Jun 2020, Mike DelMedico wrote:
>
> > 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
> >
>
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