Re: [Quantlib-users] How to handle stubs

[Trent M. <tr...@ma...>]

I haven’t tried to override the leg’s first cash flow, but that could work. Would prefer a way to input the fixing rate when the instrument is created so a trader can accomplish that. I guess I could write a function to build the swap too.

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On Wed, Oct 25, 2023 at 12:21, Mike DelMedico <[mik...@gm...](mailto:On Wed, Oct 25, 2023 at 12:21, Mike DelMedico <<a href=)> wrote:

> 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...](mailto: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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