Re: [Quantlib-users] How to handle stubs

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

The way I would’ve handled it is to have a flag set when the swap is
created to signal that a stub is present then for each swap with flag
raised compute the proper stub rate and override the needed cash flow(s).
Maybe someone has a more elegant way of doing this.

If I remember correctly the cash flows are in the leg objects and there is
a fixed and float leg for each swap object. I’m working in Python though so
there may be more functionality available to you if working directly in
C++.


On Wed, Oct 25, 2023 at 16:56 Trent Maetzold <tr...@ma...> wrote:

> 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.
>
> Sent from Proton Mail <https://proton.me/mail/home> for iOS
>
>
> On Wed, Oct 25, 2023 at 12:21, Mike DelMedico <mik...@gm...
> <On+Wed,+Oct+25,+2023+at+12:21,+Mike+DelMedico+%3C%3Ca+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...
>>> <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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