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From: Grześ A. <gan...@gm...> - 2012-09-03 15:11:22
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Hi, Does QuantLib support multicurve discounting, i.e. when you discount using one curve (OIS), but use another curve (i.e. 3M LIBOR) for determining of the cash flows? See e.g. http://blog.numerix.com/public/2011/02/otc-derivatives-valuation-adoption-of-multiple-pricing-curves.html for more information. Kind regards, Grzegorz |
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From: Ferdinando A. <na...@am...> - 2012-09-03 16:20:20
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On Mon, Sep 3, 2012 at 5:11 PM, Grześ Andruszkiewicz <gan...@gm...> wrote: > Does QuantLib support multicurve discounting, i.e. when you discount > using one curve (OIS), but use another curve (i.e. 3M LIBOR) for > determining of the cash flows? yes it does ciao -- Nando |
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From: DirkJonkman <d.m...@st...> - 2016-03-22 20:50:51
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Hi Nando, Where can if find some documentation on how to do this? Currently looking into the curve construction approaches that were presented in "Everything you always wanted to know about multiple interest rate curve bootstrapping but were afraid to ask". Currently working with QuantLib in Python. Thanks in advance. Kind regards, Dirk Jonkman -- View this message in context: http://quantlib.10058.n7.nabble.com/Multicurve-discounting-tp9444p17357.html Sent from the quantlib-dev mailing list archive at Nabble.com. |
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From: Roland L. <rol...@qu...> - 2012-09-03 16:28:08
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Hi Grzegorz, yes, it does. Have a look at the SwapRateHelper class that allows specifying an exogenous discounting curve. This is the essential thing you need (in the single currency world). So you build the discounting curve first (e.g. bootstrapping from ON, TN and OIS quotes). In a second step you build e.g. a 3M tenor Swap curve from Deposits, FRAs and 3M tenor Swaps, where you use the former curve as exogenous discounting curve with your SwapRateHelpers. Kind regards, Roland On 3 Sep 2012, at 17:11, Grześ Andruszkiewicz wrote: > Hi, > > Does QuantLib support multicurve discounting, i.e. when you discount > using one curve (OIS), but use another curve (i.e. 3M LIBOR) for > determining of the cash flows? > > See e.g. http://blog.numerix.com/public/2011/02/otc-derivatives-valuation-adoption-of-multiple-pricing-curves.html > for more information. > > Kind regards, > Grzegorz > > ------------------------------------------------------------------------------ > Live Security Virtual Conference > Exclusive live event will cover all the ways today's security and > threat landscape has changed and how IT managers can respond. Discussions > will include endpoint security, mobile security and the latest in malware > threats. http://www.accelacomm.com/jaw/sfrnl04242012/114/50122263/ > _______________________________________________ > QuantLib-dev mailing list > Qua...@li... > https://lists.sourceforge.net/lists/listinfo/quantlib-dev |
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From: Peter C. <pca...@gm...> - 2012-09-06 09:22:25
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... yes, except you wouldn't build a forward curve from deposits (which gives rather bumpy forwards in my experience - this being a possible source for serious problems for e.g. FRAs and Caps), would you? There is no useful information in a 1m deposit quote for the estimation of a 3m index. Peter 2012/9/3 Roland Lichters <rol...@qu...> > Hi Grzegorz, > > yes, it does. Have a look at the SwapRateHelper class that allows > specifying an exogenous discounting curve. This is the essential thing you > need (in the single currency world). So you build the discounting curve > first (e.g. bootstrapping from ON, TN and OIS quotes). In a second step you > build e.g. a 3M tenor Swap curve from Deposits, FRAs and 3M tenor Swaps, > where you use the former curve as exogenous discounting curve with your > SwapRateHelpers. > > Kind regards, > Roland > > On 3 Sep 2012, at 17:11, Grześ Andruszkiewicz wrote: > > > Hi, > > > > Does QuantLib support multicurve discounting, i.e. when you discount > > using one curve (OIS), but use another curve (i.e. 3M LIBOR) for > > determining of the cash flows? > > > > See e.g. > http://blog.numerix.com/public/2011/02/otc-derivatives-valuation-adoption-of-multiple-pricing-curves.html > > for more information. > > > > Kind regards, > > Grzegorz > > > > > ------------------------------------------------------------------------------ > > Live Security Virtual Conference > > Exclusive live event will cover all the ways today's security and > > threat landscape has changed and how IT managers can respond. Discussions > > will include endpoint security, mobile security and the latest in malware > > threats. http://www.accelacomm.com/jaw/sfrnl04242012/114/50122263/ > > _______________________________________________ > > QuantLib-dev mailing list > > Qua...@li... > > https://lists.sourceforge.net/lists/listinfo/quantlib-dev > > > > ------------------------------------------------------------------------------ > Live Security Virtual Conference > Exclusive live event will cover all the ways today's security and > threat landscape has changed and how IT managers can respond. Discussions > will include endpoint security, mobile security and the latest in malware > threats. http://www.accelacomm.com/jaw/sfrnl04242012/114/50122263/ > _______________________________________________ > QuantLib-dev mailing list > Qua...@li... > https://lists.sourceforge.net/lists/listinfo/quantlib-dev > |
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From: Simon I. <Sim...@fs...> - 2012-09-06 10:09:29
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Really? So a 3M tenor swap fixing in 1M has no dependency on 1M depos (and a 4M point obviously)? Things have obviously changed since I did this type of stuff... do people now interpolate the 3M depo with the next Future (convexity adjusted) and a 3x6 rate derived from a 6M swap (if available)? Very interested. Simon ________________________________ From: Peter Caspers [mailto:pca...@gm...] Sent: 06 September 2012 10:22 To: Roland Lichters Cc: qua...@li... Subject: Re: [Quantlib-dev] Multicurve discounting ... yes, except you wouldn't build a forward curve from deposits (which gives rather bumpy forwards in my experience - this being a possible source for serious problems for e.g. FRAs and Caps), would you? There is no useful information in a 1m deposit quote for the estimation of a 3m index. Peter 2012/9/3 Roland Lichters <rol...@qu...> Hi Grzegorz, yes, it does. Have a look at the SwapRateHelper class that allows specifying an exogenous discounting curve. This is the essential thing you need (in the single currency world). So you build the discounting curve first (e.g. bootstrapping from ON, TN and OIS quotes). In a second step you build e.g. a 3M tenor Swap curve from Deposits, FRAs and 3M tenor Swaps, where you use the former curve as exogenous discounting curve with your SwapRateHelpers. Kind regards, Roland On 3 Sep 2012, at 17:11, Grześ Andruszkiewicz wrote: > Hi, > > Does QuantLib support multicurve discounting, i.e. when you discount > using one curve (OIS), but use another curve (i.e. 3M LIBOR) for > determining of the cash flows? > > See e.g. http://blog.numerix.com/public/2011/02/otc-derivatives-valuation-adoption-of-multiple-pricing-curves.html > for more information. > > Kind regards, > Grzegorz > > ------------------------------------------------------------------------------ > Live Security Virtual Conference > Exclusive live event will cover all the ways today's security and > threat landscape has changed and how IT managers can respond. Discussions > will include endpoint security, mobile security and the latest in malware > threats. http://www.accelacomm.com/jaw/sfrnl04242012/114/50122263/ > _______________________________________________ > QuantLib-dev mailing list > Qua...@li... > https://lists.sourceforge.net/lists/listinfo/quantlib-dev ------------------------------------------------------------------------------ Live Security Virtual Conference Exclusive live event will cover all the ways today's security and threat landscape has changed and how IT managers can respond. Discussions will include endpoint security, mobile security and the latest in malware threats. http://www.accelacomm.com/jaw/sfrnl04242012/114/50122263/ _______________________________________________ QuantLib-dev mailing list Qua...@li... https://lists.sourceforge.net/lists/listinfo/quantlib-dev This communication and any attachments contains information which is confidential and may be subject to legal privilege. It is for intended recipients only. If you are not the intended recipient you must not copy, distribute, publish, rely on or otherwise use it without our consent. Some of our communications may contain confidential information which it could be a criminal offence for you to disclose or use without authority. If you have received this email in error please notify pos...@fs... immediately and delete the email from your computer. The FSA reserves the right to monitor all email communications for compliance with legal, regulatory and professional standards. This email is not intended to nor should it be taken to create any legal relations or contractual relationships. This email has originated from The Financial Services Authority (FSA) 25 The North Colonnade, Canary Wharf, London E14 5HS United Kingdom Registered as a Limited Company in England and Wales No.1920623. Registered Office as above Switchboard: 020 7066 1000 Web Site: http://www.fsa.gov.uk ***************************************************************** |
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From: Peter C. <pca...@gm...> - 2012-09-06 14:12:59
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The 1m-4m EUR FRA mid is around 0.2460. When you estimate that rate from 1m and 4m depos, you get 0.3783. The 3m-6m FRA is at 0.2180. Estimation on 3m depo and 6m depo gives 0.7186. If you use 3m depo and 0x6 FRA you get 0.8215. If I tweaked my system correcty ... ;-) - obviously you can mess things up very easily in the new world... You have to ensure to use solely instruments linked to the 3m index e.g. 0d, 1d x 3, 1x4, 2x5 ... FRAs, Swaps vs. 3m, which already gives a good forward curve in my opinion. The modeling of the very short end is not easy I believe. Also cash quotes even with the 'right' maturity have to be handled with care. Concerning interpolation a new promising direction seems to be the direct interpolation of the (discrete) forwards. Peter 2012/9/6 Simon Ibbotson <Sim...@fs...> > Really? So a 3M tenor swap fixing in 1M has no dependency on 1M depos > (and a 4M point obviously)? Things have obviously changed since I did this > type of stuff… do people now interpolate the 3M depo with the next Future > (convexity adjusted) and a 3x6 rate derived from a 6M swap (if available)? > **** > > ** ** > > Very interested.**** > > ** ** > > Simon**** > > ** ** > ------------------------------ > > *From:* Peter Caspers [mailto:pca...@gm...] > *Sent:* 06 September 2012 10:22 > *To:* Roland Lichters > *Cc:* qua...@li... > *Subject:* Re: [Quantlib-dev] Multicurve discounting**** > > ** ** > > ... yes, except you wouldn't build a forward curve from deposits (which > gives rather bumpy forwards in my experience - this being a possible source > for serious problems for e.g. FRAs and Caps), would you? There is no useful > information in a 1m deposit quote for the estimation of a 3m index.**** > > Peter**** > > 2012/9/3 Roland Lichters <rol...@qu...>**** > > Hi Grzegorz, > > yes, it does. Have a look at the SwapRateHelper class that allows > specifying an exogenous discounting curve. This is the essential thing you > need (in the single currency world). So you build the discounting curve > first (e.g. bootstrapping from ON, TN and OIS quotes). In a second step you > build e.g. a 3M tenor Swap curve from Deposits, FRAs and 3M tenor Swaps, > where you use the former curve as exogenous discounting curve with your > SwapRateHelpers. > > Kind regards, > Roland**** > > > On 3 Sep 2012, at 17:11, Grześ Andruszkiewicz wrote: > > > Hi, > > > > Does QuantLib support multicurve discounting, i.e. when you discount > > using one curve (OIS), but use another curve (i.e. 3M LIBOR) for > > determining of the cash flows? > > > > See e.g. > http://blog.numerix.com/public/2011/02/otc-derivatives-valuation-adoption-of-multiple-pricing-curves.html > > for more information. > > > > Kind regards, > > Grzegorz > > > > > ------------------------------------------------------------------------------ > > Live Security Virtual Conference > > Exclusive live event will cover all the ways today's security and > > threat landscape has changed and how IT managers can respond. Discussions > > will include endpoint security, mobile security and the latest in malware > > threats. http://www.accelacomm.com/jaw/sfrnl04242012/114/50122263/ > > _______________________________________________ > > QuantLib-dev mailing list > > Qua...@li... > > https://lists.sourceforge.net/lists/listinfo/quantlib-dev > > > > ------------------------------------------------------------------------------ > Live Security Virtual Conference > Exclusive live event will cover all the ways today's security and > threat landscape has changed and how IT managers can respond. Discussions > will include endpoint security, mobile security and the latest in malware > threats. http://www.accelacomm.com/jaw/sfrnl04242012/114/50122263/ > _______________________________________________ > QuantLib-dev mailing list > Qua...@li... > https://lists.sourceforge.net/lists/listinfo/quantlib-dev**** > > ** ** > > > > This communication and any attachments contains information which is > confidential and may be subject to legal privilege. It is for intended > recipients only. If you are not the intended recipient you must not copy, > distribute, publish, rely on or otherwise use it without our consent. Some > of our communications may contain confidential information which it could > be a criminal offence for you to disclose or use without authority. If you > have received this email in error please notify pos...@fs... and delete the email from your computer. > > The FSA reserves the right to monitor all email communications for > compliance with legal, regulatory and professional standards. > > This email is not intended to nor should it be taken to create any legal > relations or contractual relationships. This email has originated from > > The Financial Services Authority (FSA) > 25 The North Colonnade, > Canary Wharf, > London > E14 5HS > United Kingdom > > Registered as a Limited Company in England and Wales No.1920623. > Registered Office as above > > Switchboard: 020 7066 1000 > Web Site: http://www.fsa.gov.uk > ***************************************************************** > |
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From: ED <e06...@gm...> - 2012-11-14 01:33:16
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On Mon, Sep 3, 2012 at 12:19 PM, Ferdinando Ametrano<na...@am...> wrote: > On Mon, Sep 3, 2012 at 5:11 PM, Grześ Andruszkiewicz > <gan...@gm...> wrote: >> Does QuantLib support multicurve discounting, i.e. when you discount >> using one curve (OIS), but use another curve (i.e. 3M LIBOR) for >> determining of the cash flows? > yes it does Hi Nando, What if all you have to build your OIS curve is FFvs3M basis swaps? In that case you need to jointly calibrate your 3M and OIS curves, as they are interdependent. Would you have some pointers on how to do that within Quantlib? Best Regards, Ed |
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From: ED <e06...@gm...> - 2012-11-19 16:14:12
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ED <e06...@gm...> wrote: >On Mon, Sep 3, 2012 at 12:19 PM, Ferdinando >Ametrano<na...@am...> >wrote: >> On Mon, Sep 3, 2012 at 5:11 PM, Grześ Andruszkiewicz >> <gan...@gm...> wrote: >>> Does QuantLib support multicurve discounting, i.e. when you discount >>> using one curve (OIS), but use another curve (i.e. 3M LIBOR) for >>> determining of the cash flows? >> yes it does > >Hi Nando, > >What if all you have to build your OIS curve is FFvs3M basis swaps? >In that case you need to jointly calibrate your 3M and OIS curves, as >they are interdependent. >Would you have some pointers on how to do that within Quantlib? > >Best Regards, >Ed I realize the lack of an N-dimensional solver makes things harder. However, this would probably be feasible with LM, with a modified bootstrapper... is it something someone might have tried? Any thoughts on the feasibility? Regards, Ed |
