Re: [Quantlib-users] IMM rolls

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

Thanks!

On Tue, Jun 9, 2020 at 12:29 PM Tom Anderson <tw...@ur...> wrote:

> Done - i hope this is clear:
>
> https://github.com/lballabio/QuantLib/issues/833
>
> tom
>
> On Tue, 9 Jun 2020, Luigi Ballabio wrote:
>
> > 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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> >
>
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