Re: [Quantlib-users] How to handle stubs

[Giuseppe T. <tr...@gm...>]

Hi Trent,


The fixing for the stub is left as a "pricing choice" since it's typically
a contractual feature.

For the Front stub you can use the the actual fixing of your index, or you
can use a weighted one with a year-fraction based allocation (for example
if you have a 5 months stub on a Euribor6M indexed contract you can do 1/3
of the Euribor3M + 2/3 of the Euribor6M).

For the Back stub I know of no direct way for weighted fixings, I assume
you can do the same with with the forward rates from both curves and create
an extra cashflow with that.

Il Mer 25 Ott 2023, 15:16 Trent Maetzold <tr...@ma...> ha scritto:

> Seems I need a way to pass the fixing for the stub. I’m not seeing a way
> to do that directly. I’m using MakeVanillaSwap if it matters. Any help
> would be appreciated.
>
> Sent from Proton Mail <https://proton.me/mail/home> for iOS
>
>
> On Tue, Oct 24, 2023 at 10:04, Trent Maetzold <tr...@ma...
> <On+Tue,+Oct+24,+2023+at+10:04,+Trent+Maetzold+%3C%3Ca+href=>> wrote:
>
> Hi all,
>
> I've been looking at CZK and market practice for the Ibors there seems to
> be to switch to one of the shorter dated Ibor Indexes when there is a stub
> (believe they are actually just interpolated and put into a quote in
> Bloomberg). The QuantLib model is spot on at pricing swaps except when
> there is a stub, since QuantLib is using my 3m or 6m index interpolation
> for the stub. What is the recommended way of handling this? It seems that a
> brute force way would be to build all the various indexes and then write a
> index chooser function to pick which one to use to forecast the fixings,
> but I'm wondering if there's a more straightforward way.
>
> Thanks in advance,
> Trent Maetzold
>
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