Re: [Quantlib-users] SOFR SwapRateHelpers - slow ?

[Suhas G. <suh...@gm...>]

Thank you Peter. It makes perfect sense to use OISRateHelper now that I
think about it.

Suhas

On Sun, Aug 29, 2021 at 9:43 AM Peter Caspers <pca...@gm...>
wrote:

> Hi Suhas,
>
> you should use OISRateHelper or AverageOISRateHelper instead of
> SwapRateHelper for SOFR swaps: The latter class builds a swap with
> daily payments. SOFR swaps have annual payments instead. The former
> two classes build such swaps with a compounded or averaged rate.
>
> Best Regards
> Peter
>
> On Sat, 28 Aug 2021 at 22:13, Suhas Ghorpadkar <suh...@gm...>
> wrote:
> >
> > While building SOFR curve for discounting, I am noticing that creating
> SwapRateHelper gets progressively slower. Below is my test case and the
> output. There is also comparison with USDLibor 3M where I do not see this
> behavior. I wonder if I am doing something wrong in creating Sofr index.
> Any help is appreciated.
> >  Thanks.
> >
> > #include <catch.hpp>
> > #include <ql/indexes/ibor/sofr.hpp>
> > #include <ql/indexes/ibor/usdlibor.hpp>
> > #include <ql/instruments/forwardrateagreement.hpp>
> > #include <ql/instruments/makevanillaswap.hpp>
> > #include <ql/termstructures/yield/ratehelpers.hpp>
> > #include <ql/utilities/dataparsers.hpp>
> > #include <string>
> > #include <iostream>
> >
> > using namespace QuantLib;
> >
> > TEST_CASE("sofr curvebuilder build test") {
> >
> >   Settings::instance().evaluationDate() = Date(16,August,2021);
> >
> >   std::vector<std::string> periods
> {"1M","2M","3M","4M","5M","6M","9M","1Y",
> >
> "18M","2Y","3Y","4Y","5Y","7Y","10Y","12Y",
> >                                    "15Y","20Y","25Y","30Y","40Y","50Y"};
> >   Calendar swapcalendar =
> UnitedStates(UnitedStates::Market::FederalReserve);
> >   Frequency frequency = Frequency::Annual;
> >   DayCounter fDayCount = Actual360();
> >   std::vector<ext::shared_ptr<RateHelper>> sofrhelpers,liborhelpers;
> >   sofrhelpers.reserve(22);liborhelpers.reserve(22);
> >   ext::shared_ptr<Sofr> sofr(new Sofr());
> >   ext::shared_ptr<IborIndex> usdlibor =
> ext::make_shared<USDLibor>(Period(3, Months));
> >
> >   for (auto& period_str : periods){
> >
> >     Period period = PeriodParser::parse(period_str);
> >
> >     ext::shared_ptr<SimpleQuote> s = ext::make_shared<SimpleQuote>(0.05
> / 100.0);
> >     auto start = std::chrono::steady_clock::now(); //START
> >     std::shared_ptr<SwapRateHelper> helper =
> std::make_shared<SwapRateHelper>(Handle<Quote>(s), period, swapcalendar,
> >
>      frequency, BusinessDayConvention::ModifiedFollowing,
> >
>      fDayCount, sofr);
> >     auto end = std::chrono::steady_clock::now(); //STOP
> >     std::cout << period << " sofrhelper took : " <<
> std::chrono::duration_cast<std::chrono::milliseconds>(end - start).count()
> << " ms" << std::endl;
> >     sofrhelpers.emplace_back(helper);
> >   }
> >   REQUIRE(sofrhelpers.size()==22);
> >
> >   std::cout << "====================================" << std::endl;
> >
> >   for (auto& period_str : periods){
> >
> >     Period period = PeriodParser::parse(period_str);
> >
> >     ext::shared_ptr<SimpleQuote> s = ext::make_shared<SimpleQuote>(0.05
> / 100.0);
> >     auto start = std::chrono::steady_clock::now(); //START
> >     std::shared_ptr<SwapRateHelper> helper =
> std::make_shared<SwapRateHelper>(Handle<Quote>(s), period, swapcalendar,
> >
>      frequency, BusinessDayConvention::ModifiedFollowing,
> >
>      fDayCount, usdlibor);
> >     auto end = std::chrono::steady_clock::now(); //STOP
> >     std::cout << period << " liborhelper took : " <<
> std::chrono::duration_cast<std::chrono::milliseconds>(end - start).count()
> << " ms" << std::endl;
> >     liborhelpers.emplace_back(helper);
> >   }
> >   REQUIRE(liborhelpers.size()==22);
> >
> > }
> >
> > 1M sofrhelper took : 0 ms
> > 2M sofrhelper took : 0 ms
> > 3M sofrhelper took : 1 ms
> > 4M sofrhelper took : 0 ms
> > 5M sofrhelper took : 1 ms
> > 6M sofrhelper took : 1 ms
> > 9M sofrhelper took : 1 ms
> > 1Y sofrhelper took : 2 ms
> > 1Y6M sofrhelper took : 4 ms
> > 2Y sofrhelper took : 5 ms
> > 3Y sofrhelper took : 12 ms
> > 4Y sofrhelper took : 15 ms
> > 5Y sofrhelper took : 21 ms
> > 7Y sofrhelper took : 34 ms
> > 10Y sofrhelper took : 65 ms
> > 12Y sofrhelper took : 85 ms
> > 15Y sofrhelper took : 115 ms
> > 20Y sofrhelper took : 211 ms
> > 25Y sofrhelper took : 326 ms
> > 30Y sofrhelper took : 451 ms
> > 40Y sofrhelper took : 728 ms
> > 50Y sofrhelper took : 1112 ms
> > ====================================
> > 1M liborhelper took : 0 ms
> > 2M liborhelper took : 0 ms
> > 3M liborhelper took : 0 ms
> > 4M liborhelper took : 0 ms
> > 5M liborhelper took : 0 ms
> > 6M liborhelper took : 0 ms
> > 9M liborhelper took : 0 ms
> > 1Y liborhelper took : 0 ms
> > 1Y6M liborhelper took : 0 ms
> > 2Y liborhelper took : 0 ms
> > 3Y liborhelper took : 0 ms
> > 4Y liborhelper took : 0 ms
> > 5Y liborhelper took : 0 ms
> > 7Y liborhelper took : 0 ms
> > 10Y liborhelper took : 0 ms
> > 12Y liborhelper took : 0 ms
> > 15Y liborhelper took : 0 ms
> > 20Y liborhelper took : 1 ms
> > 25Y liborhelper took : 1 ms
> > 30Y liborhelper took : 1 ms
> > 40Y liborhelper took : 1 ms
> > 50Y liborhelper took : 2 ms
> >
> ===============================================================================
> > All tests passed (2 assertions in 1 test case)
> >
> >
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