Re: [Quantlib-users] How to handle stubs

[Mike D. <mik...@gm...>]

He has to override the original cashflow though after the swap is created
though correct? I think he’s asking how to efficiently do that.

I would be curious as well.

Thanks,
Mike


On Wed, Oct 25, 2023 at 12:10 Giuseppe Trapani <tr...@gm...> wrote:

> 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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