Re: [Quantlib-users] Pricing of CAP and Swaption with Quantlib

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Hi Christofer,

below are some such example trades represented in ORE XML. You should
think of EUR-EONIA as one of the new RFRs probably.

Thanks
Peter

<?xml version="1.0" encoding="UTF-8"?>
<Portfolio>
  <Trade id="global_excludeSpread">
    <TradeType>Swap</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
      <AdditionalFields/>
    </Envelope>
    <SwapData>
      <LegData>
        <LegType>Floating</LegType>
        <Payer>false</Payer>
        <Currency>EUR</Currency>
        <Notionals>
          <Notional>100000000</Notional>
        </Notionals>
        <DayCounter>A360</DayCounter>
        <PaymentConvention>MF</PaymentConvention>
        <FloatingLegData>
          <Index>EUR-EONIA</Index>
          <FixingDays>0</FixingDays>
          <Lookback>0D</Lookback>
          <RateCutoff>2</RateCutoff>
          <IncludeSpread>false</IncludeSpread>
          <Spreads>
            <Spread>0.01</Spread>
          </Spreads>
          <Floors>
            <Floor>0.0</Floor>
          </Floors>
          <NakedOption>false</NakedOption>
          <LocalCapFloor>false</LocalCapFloor>
        </FloatingLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20201130</StartDate>
            <EndDate>20221130</EndDate>
            <Tenor>3M</Tenor>
            <Calendar>US</Calendar>
            <Convention>MF</Convention>
            <TermConvention>MF</TermConvention>
            <Rule>Backward</Rule>
            <EndOfMonth>false</EndOfMonth>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
    </SwapData>
  </Trade>
  <Trade id="global_includeSpread">
    <TradeType>Swap</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
      <AdditionalFields/>
    </Envelope>
    <SwapData>
      <LegData>
        <LegType>Floating</LegType>
        <Payer>false</Payer>
        <Currency>EUR</Currency>
        <Notionals>
          <Notional>100000000</Notional>
        </Notionals>
        <DayCounter>A360</DayCounter>
        <PaymentConvention>MF</PaymentConvention>
        <FloatingLegData>
          <Index>EUR-EONIA</Index>
          <FixingDays>0</FixingDays>
          <Lookback>0D</Lookback>
          <RateCutoff>2</RateCutoff>
          <IncludeSpread>true</IncludeSpread>
          <Spreads>
            <Spread>0.01</Spread>
          </Spreads>
          <Floors>
            <Floor>0.0</Floor>
          </Floors>
          <NakedOption>false</NakedOption>
          <LocalCapFloor>false</LocalCapFloor>
        </FloatingLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20201130</StartDate>
            <EndDate>20221130</EndDate>
            <Tenor>3M</Tenor>
            <Calendar>US</Calendar>
            <Convention>MF</Convention>
            <TermConvention>MF</TermConvention>
            <Rule>Backward</Rule>
            <EndOfMonth>false</EndOfMonth>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
    </SwapData>
  </Trade>
  <Trade id="local_excludeSpread">
    <TradeType>Swap</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
      <AdditionalFields/>
    </Envelope>
    <SwapData>
      <LegData>
        <LegType>Floating</LegType>
        <Payer>false</Payer>
        <Currency>EUR</Currency>
        <Notionals>
          <Notional>100000000</Notional>
        </Notionals>
        <DayCounter>A360</DayCounter>
        <PaymentConvention>MF</PaymentConvention>
        <FloatingLegData>
          <Index>EUR-EONIA</Index>
          <FixingDays>0</FixingDays>
          <Lookback>0D</Lookback>
          <RateCutoff>2</RateCutoff>
          <IncludeSpread>false</IncludeSpread>
          <Spreads>
            <Spread>0.01</Spread>
          </Spreads>
          <Floors>
            <Floor>0.0</Floor>
          </Floors>
          <NakedOption>false</NakedOption>
          <LocalCapFloor>true</LocalCapFloor>
        </FloatingLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20201130</StartDate>
            <EndDate>20221130</EndDate>
            <Tenor>3M</Tenor>
            <Calendar>US</Calendar>
            <Convention>MF</Convention>
            <TermConvention>MF</TermConvention>
            <Rule>Backward</Rule>
            <EndOfMonth>false</EndOfMonth>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
    </SwapData>
  </Trade>
  <Trade id="local_includeSpread">
    <TradeType>Swap</TradeType>
    <Envelope>
      <CounterParty>CPTY_A</CounterParty>
      <NettingSetId>CPTY_A</NettingSetId>
      <AdditionalFields/>
    </Envelope>
    <SwapData>
      <LegData>
        <LegType>Floating</LegType>
        <Payer>false</Payer>
        <Currency>EUR</Currency>
        <Notionals>
          <Notional>100000000</Notional>
        </Notionals>
        <DayCounter>A360</DayCounter>
        <PaymentConvention>MF</PaymentConvention>
        <FloatingLegData>
          <Index>EUR-EONIA</Index>
          <FixingDays>0</FixingDays>
          <Lookback>0D</Lookback>
          <RateCutoff>2</RateCutoff>
          <IncludeSpread>true</IncludeSpread>
          <Spreads>
            <Spread>0.01</Spread>
          </Spreads>
          <Floors>
            <Floor>0.0</Floor>
          </Floors>
          <NakedOption>false</NakedOption>
          <LocalCapFloor>true</LocalCapFloor>
        </FloatingLegData>
        <ScheduleData>
          <Rules>
            <StartDate>20201130</StartDate>
            <EndDate>20221130</EndDate>
            <Tenor>3M</Tenor>
            <Calendar>US</Calendar>
            <Convention>MF</Convention>
            <TermConvention>MF</TermConvention>
            <Rule>Backward</Rule>
            <EndOfMonth>false</EndOfMonth>
            <FirstDate/>
            <LastDate/>
          </Rules>
        </ScheduleData>
      </LegData>
    </SwapData>
  </Trade>
</Portfolio>

On Fri, 30 Apr 2021 at 21:41, Christofer Bogaso
<bog...@gm...> wrote:
>
> Hi,
>
> I will really appreciate it if someone can show any example on the
> subject below.
>
> Thanks and regards,
>
> On Fri, Apr 9, 2021 at 3:53 PM Christofer Bogaso
> <bog...@gm...> wrote:
> >
> > Great, thanks!
> >
> > Just wondering if there is any example on this implementation either
> > in C++ or Python. The payoff of such instruments is based on
> > Arithmetic/Geometric average of OI rate over the tenor.
> >
> > Thanks and regards,
> >
> > On Fri, Apr 9, 2021 at 1:16 PM Peter Caspers <pca...@gm...> wrote:
> > >
> > > Hi Christofer, this is released code, so you can do it today.
> > > Thanks, Peter
> > >
> > > On Sun, 21 Mar 2021 at 19:46, Christofer Bogaso
> > > <bog...@gm...> wrote:
> > > >
> > > > Thanks.
> > > >
> > > > Do we have any timeline when cap / floor pricing for ON coupons will
> > > > be available?
> > > >
> > > > Also, some workout examples will be super helpful.
> > > >
> > > > On Sat, Mar 20, 2021 at 12:55 AM Peter Caspers <pca...@gm...> wrote:
> > > > >
> > > > > Hi Christofer,
> > > > >
> > > > > we have added a pricer here
> > > > >
> > > > > https://github.com/OpenSourceRisk/Engine/blob/master/QuantExt/qle/cashflows/blackovernightindexedcouponpricer.hpp
> > > > >
> > > > > inspired by Lyanshenko / Mercurio, Looking forward to backward looking
> > > > > rates, section 6.3. Currently there are only the old Libor
> > > > > volatilities available as far as I know. I'd expect that there will be
> > > > > new volatility quotes in the future and some sort of market formula
> > > > > that translates those into standard cap prices. Therefore the
> > > > > implementation should be seen as preliminary and proprietary, there
> > > > > are other possible approaches. We'll update the method as soon as the
> > > > > market develops. I should also mention that there is a bug in the
> > > > > github code, line 70 in the cpp should be
> > > > >
> > > > >         Real stdDev = sigma * std::sqrt(std::max(fixingStartTime, 0.0) +
> > > > >                                         std::pow(fixingEndTime -
> > > > > std::max(fixingStartTime, 0.0), 3.0) /
> > > > >                                             std::pow(fixingEndTime -
> > > > > fixingStartTime, 2.0) / 3.0);
> > > > >
> > > > > which will be in the next ORE release. We also added daily (or
> > > > > "local") cap / floor pricing for ON coupons, which will be available
> > > > > in that release as well. Hope that helps in one way or the other. Any
> > > > > feedback or discussions around this topic are welcome!
> > > > >
> > > > > Thanks
> > > > > Peter
> > > > >
> > > > > On Wed, 17 Mar 2021 at 18:39, Christofer Bogaso
> > > > > <bog...@gm...> wrote:
> > > > > >
> > > > > > Hi,
> > > > > >
> > > > > > I am just wondering if there is any implementation to price some
> > > > > > Interest Rate Caps and Swaptions where payoff is based on Overnight
> > > > > > rate contrary to present Libor references.
> > > > > >
> > > > > > So far I can only see QL implementation based on Libor.
> > > > > >
> > > > > > Any reference to OI based pricing would be appreciated.
> > > > > >
> > > > > > Thanks and regards,
> > > > > >
> > > > > >
> > > > > > _______________________________________________
> > > > > > QuantLib-users mailing list
> > > > > > Qua...@li...
> > > > > > https://lists.sourceforge.net/lists/listinfo/quantlib-users