quantlib-users — QuantLib users discussion list

Re: [Quantlib-users] Sabr model parameters calibration

[Shashank C. <sha...@gm...>]

Hi jack ,

Thank you for your help. I really appreciate it.
I am not sure what library does the “minimize” function belongs to ?
I am not a Python programmer so I am trying to translate this code to C++.

Regards
Shashank

On Thu, Aug 11, 2022 at 9:24 AM Jack G <jac...@gm...> wrote:

> Shashank,
>
> Can I recommend this excellent answer by David Duarte that I think will do
> exactly what you want?
>
>
> https://quant.stackexchange.com/questions/57786/sabr-model-pricing-engine-in-python-quantlib
>
> Best,
> Jack
>
> On Tue, Aug 9, 2022 at 11:17 AM Shashank Choudhary <
> sha...@gm...> wrote:
>
>> Hi Jack ,
>>
>> I am trying to find the values of Rho and Nu which minimize the mean
>> squared error between market volatility and volatility computed using the
>> sabr model formula for a given set of parameters (alpha, rho, nu , beta). I
>> can assume Beta to be 0.5 while alpha can be ATM volatility.
>> Now I need to set up the calibration as explained in the MATLAB version
>> below
>>
>> https://www.mathworks.com/help/fininst/calibrating-the-sabr-model.html
>>
>> Now quantlib has the sabr model class in C++ with the formula to compute
>> the volatility, but I need to calibrate the parameters rho and Nu
>> that minimises the error function.
>>
>> Hope this makes sense :)
>>
>> regards
>> Shashank
>>
>>
>>
>> On Mon, Aug 8, 2022 at 7:14 PM Jack G <jac...@gm...> wrote:
>>
>>> Hi Shashank,
>>>
>>> What exactly are you trying to do here? SABR is a funny one because
>>> although it is a "model", it usually isn't used as such and is just used
>>> for smile interpolation at a given tenor (with different SABR "models"
>>> fitted to each tenor). Quite a lot of the art is about how to choose these
>>> adjacent smile fits.
>>>
>>> I'm not aware of an inbuilt calibrator but it should be easy enough to
>>> calibrate to a given vol smile. How are you interacting with QuantLib?
>>> There are some exams of calibrators in the cookbook I believe, and I have
>>> some python code for QuantLib that will do this for SABR as well if it
>>> help,.
>>>
>>>
>>> Best,
>>> Jack
>>>
>>>
>>> On Tue, 9 Aug 2022, 06:01 Shashank Choudhary, <sha...@gm...>
>>> wrote:
>>>
>>>> Hi ,
>>>>
>>>> How do I use the calibration engine for the SABR model parameters? I
>>>> can access the sabr model class and find implied volatilities for a given
>>>> set of parameters but I can’t locate and use the calibration engine, if
>>>> there’s one.
>>>>
>>>> Any help would be much appreciated :)
>>>>
>>>> Regards
>>>> Shashank
>>>> _______________________________________________
>>>> QuantLib-users mailing list
>>>> Qua...@li...
>>>> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>>>>
>>>>

Re: [Quantlib-users] Sabr model parameters calibration

[Jack G <jac...@gm...>]

Shashank,

Can I recommend this excellent answer by David Duarte that I think will do
exactly what you want?

https://quant.stackexchange.com/questions/57786/sabr-model-pricing-engine-in-python-quantlib

Best,
Jack

On Tue, Aug 9, 2022 at 11:17 AM Shashank Choudhary <sha...@gm...>
wrote:

> Hi Jack ,
>
> I am trying to find the values of Rho and Nu which minimize the mean
> squared error between market volatility and volatility computed using the
> sabr model formula for a given set of parameters (alpha, rho, nu , beta). I
> can assume Beta to be 0.5 while alpha can be ATM volatility.
> Now I need to set up the calibration as explained in the MATLAB version
> below
>
> https://www.mathworks.com/help/fininst/calibrating-the-sabr-model.html
>
> Now quantlib has the sabr model class in C++ with the formula to compute
> the volatility, but I need to calibrate the parameters rho and Nu
> that minimises the error function.
>
> Hope this makes sense :)
>
> regards
> Shashank
>
>
>
> On Mon, Aug 8, 2022 at 7:14 PM Jack G <jac...@gm...> wrote:
>
>> Hi Shashank,
>>
>> What exactly are you trying to do here? SABR is a funny one because
>> although it is a "model", it usually isn't used as such and is just used
>> for smile interpolation at a given tenor (with different SABR "models"
>> fitted to each tenor). Quite a lot of the art is about how to choose these
>> adjacent smile fits.
>>
>> I'm not aware of an inbuilt calibrator but it should be easy enough to
>> calibrate to a given vol smile. How are you interacting with QuantLib?
>> There are some exams of calibrators in the cookbook I believe, and I have
>> some python code for QuantLib that will do this for SABR as well if it
>> help,.
>>
>>
>> Best,
>> Jack
>>
>>
>> On Tue, 9 Aug 2022, 06:01 Shashank Choudhary, <sha...@gm...>
>> wrote:
>>
>>> Hi ,
>>>
>>> How do I use the calibration engine for the SABR model parameters? I can
>>> access the sabr model class and find implied volatilities for a given set
>>> of parameters but I can’t locate and use the calibration engine, if there’s
>>> one.
>>>
>>> Any help would be much appreciated :)
>>>
>>> Regards
>>> Shashank
>>> _______________________________________________
>>> QuantLib-users mailing list
>>> Qua...@li...
>>> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>>>
>>>

Re: [Quantlib-users] Rate curves with Nelson Siegel Svensson

[Tom A. <tw...@ur...>]

Hi Roberto,

I was not involved in this decision. But in my limited experience, it is 
rare for people trading rates derivatives to use a parametric curve like 
Nelson-Siegel-Svensson; rather, we use interpolated curves, like splines 
and so on. Parametric curves are more commonly used with bonds.

Why is this? Assuming it is not just a random historical accident, i think 
this is because rate derivatives have a greater degree of fungibility with 
each other than bonds do. In very loose terms, rate derivatives are 
various slices of some consistent underlying term structure, and have 
potentially infinite supply. Whereas bonds are individual things that 
trade according to their own particular dynamics, and have fixed supply. 
Both derive their value from discounted future cashflows, but there are 
idiosyncractic supply and demand effects that can push bond prices away 
from the "true" value of their cashflows.

That means that trying to draw a spline through bond yields (or implied 
forwards etc) makes no sense. There is no reason to think that all bond 
yields sit exactly on some smooth, meaningful term structure. So, instead, 
we fit a parametric model, which tries to extract such a term structure 
from the soup of idiosyncratic pricing noise.

We could also do this for rate derivatives. But since we have a lot more 
confidence in the consistency of their pricing, there's no point. We can 
just use a spline.

I could be completely wrong about this, though. I have never seen this 
discussed explicitly.

Regards,
tom

On Wed, 10 Aug 2022, Roberto Cocchi wrote:

> Dear all
>
> I'm working w Claudio on this topic. I am asking myself (and anyone that 
> sees fit to have an opinion) why does fitting (NSS, etc) been 
> implemented only for Govt Bonds? Is it that it does not make sense in 
> the case of pure yield bearing instruments, such as swaps, FRA's, MM? 
> Else, if it made sense, it would have been implemented time ago.
>
> Your thoughts?
>
> Roberto
> Sent: Thursday, 4 August, 2022 13:05:08
> Subject: Re: [Quantlib-users] Rate curves with Nelson Siegel Svensson
>
> Hello Claudio,
> you can modify the FittedBondDiscountCurve class so that it can use generic RateHelper instances, but it will miss some features. Also, do keep into account that while PiecewiseYieldCurve creates a curve that reproduces the inputs exactly, FittedBondDiscountCurve doesn't, so I would check if that's acceptable for you.
>
> This said: you can replace BondHelper with RateHelper in the FittedBondDiscountCurve class, but you'll have to comment out some code that would not compile. One such place is < [ https://urlsand.esvalabs.com/?u=https%3A%2F%2Fgithub.com%2Flballabio%2FQuantLib%2Fblob%2Fmaster%2Fql%2Ftermstructures%2Fyield%2Ffittedbonddiscountcurve.cpp%23L98-L110&e=8b2395da&h=278c8320&f=y&p=n | https://github.com/lballabio/QuantLib/blob/master/ql/termstructures/yield/fittedbonddiscountcurve.cpp#L98-L110 ] >; these are a few checks and you can live without them. Another place is < [ https://urlsand.esvalabs.com/?u=https%3A%2F%2Fgithub.com%2Flballabio%2FQuantLib%2Fblob%2Fmaster%2Fql%2Ftermstructures%2Fyield%2Ffittedbonddiscountcurve.cpp%23L98-L110&e=8b2395da&h=278c8320&f=y&p=n | https://github.com/lballabio/QuantLib/blob/master/ql/termstructures/yield/fittedbonddiscountcurve.cpp#L98-L110 ] >: commenting this out means that you can't rely on the curve for calculating the calibration weights and you'll have to pass them in explicitly.
>
> Hope this helps,
> Luigi
>
>
> On Tue, Aug 2, 2022 at 3:39 PM Claudio D'Angelo < [ mailto:cla...@so... | cla...@so... ] > wrote:
>
>
> Hello all,
>
> let me introduce myself, I'm a java developer, I need to modify an
> application that is usimg quantlib (via SWIG).
>
> Currently this application is creating curves using the class
> PiecewiseYieldCurve and passing rates like RfaRate and DepositRate, both
> using a SimpleQuote containing the yield value of the rate.
>
> Now I would interpolate/fit the curve using the NSS, checking the API
> seems the only class that can implement this fitting is the
> FittedBondDiscountCurve. Unfortunately this class wants in input a
> BondHelper or a Fixed RateBondHelper, both of them work using bond data
> and the price.
>
> Is it possible to implement a curve using the NSS but with rates with
> only yield values (naturally with other data but not a bond and a price
> as input).
>
> I don't know if I was clear, unfortunately I don't have experience with
> quant, quantlib and C++ and I need help in order to understand better
> and resolve my issue.
>
> Thank you very much in advance to all.
>
>
> Claudio
>
>
>
>
> _______________________________________________
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> [ mailto:Qua...@li... | Qua...@li... ]
> [ https://urlsand.esvalabs.com/?u=https%3A%2F%2Flists.sourceforge.net%2Flists%2Flistinfo%2Fquantlib-users&e=8b2395da&h=5e0eb166&f=y&p=n | https://lists.sourceforge.net/lists/listinfo/quantlib-users ]
>
>
>
>
>
>
>

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Re: [Quantlib-users] Rate curves with Nelson Siegel Svensson

[Roberto C. <rob...@so...>]

Dear all 

I'm working w Claudio on this topic. I am asking myself (and anyone that sees fit to have an opinion) why does fitting (NSS, etc) been implemented only for Govt Bonds? Is it that it does not make sense in the case of pure yield bearing instruments, such as swaps, FRA's, MM? Else, if it made sense, it would have been implemented time ago. 

Your thoughts? 

Roberto 
Sent: Thursday, 4 August, 2022 13:05:08 
Subject: Re: [Quantlib-users] Rate curves with Nelson Siegel Svensson 

Hello Claudio, 
you can modify the FittedBondDiscountCurve class so that it can use generic RateHelper instances, but it will miss some features. Also, do keep into account that while PiecewiseYieldCurve creates a curve that reproduces the inputs exactly, FittedBondDiscountCurve doesn't, so I would check if that's acceptable for you. 

This said: you can replace BondHelper with RateHelper in the FittedBondDiscountCurve class, but you'll have to comment out some code that would not compile. One such place is < [ https://urlsand.esvalabs.com/?u=https%3A%2F%2Fgithub.com%2Flballabio%2FQuantLib%2Fblob%2Fmaster%2Fql%2Ftermstructures%2Fyield%2Ffittedbonddiscountcurve.cpp%23L98-L110&e=8b2395da&h=278c8320&f=y&p=n | https://github.com/lballabio/QuantLib/blob/master/ql/termstructures/yield/fittedbonddiscountcurve.cpp#L98-L110 ] >; these are a few checks and you can live without them. Another place is < [ https://urlsand.esvalabs.com/?u=https%3A%2F%2Fgithub.com%2Flballabio%2FQuantLib%2Fblob%2Fmaster%2Fql%2Ftermstructures%2Fyield%2Ffittedbonddiscountcurve.cpp%23L98-L110&e=8b2395da&h=278c8320&f=y&p=n | https://github.com/lballabio/QuantLib/blob/master/ql/termstructures/yield/fittedbonddiscountcurve.cpp#L98-L110 ] >: commenting this out means that you can't rely on the curve for calculating the calibration weights and you'll have to pass them in explicitly. 

Hope this helps, 
Luigi 


On Tue, Aug 2, 2022 at 3:39 PM Claudio D'Angelo < [ mailto:cla...@so... | cla...@so... ] > wrote: 


Hello all, 

let me introduce myself, I'm a java developer, I need to modify an 
application that is usimg quantlib (via SWIG). 

Currently this application is creating curves using the class 
PiecewiseYieldCurve and passing rates like RfaRate and DepositRate, both 
using a SimpleQuote containing the yield value of the rate. 

Now I would interpolate/fit the curve using the NSS, checking the API 
seems the only class that can implement this fitting is the 
FittedBondDiscountCurve. Unfortunately this class wants in input a 
BondHelper or a Fixed RateBondHelper, both of them work using bond data 
and the price. 

Is it possible to implement a curve using the NSS but with rates with 
only yield values (naturally with other data but not a bond and a price 
as input). 

I don't know if I was clear, unfortunately I don't have experience with 
quant, quantlib and C++ and I need help in order to understand better 
and resolve my issue. 

Thank you very much in advance to all. 


Claudio 




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Re: [Quantlib-users] OIS valuation

[Ashish B. <ash...@gm...>]

For vanilla swap you can refer to following:
http://gouthamanbalaraman.com/blog/interest-rate-swap-quantlib-python.html

http://billiontrader.com/interest-rate-swaps-valuation-with-quantlib/

Try to find changes related to OIS to this. I have not used it for swap yet
not sure.

Regards
Ashish

On Wed, Aug 10, 2022, 12:21 PM Evgenia Vass <ge...@gm...> wrote:

> Dear Quantlib users,
> I need to calculate the net present value for Overnight Indexed Swap.
> Since this is my first time doing this, please advise me where I can get
> acquainted with the basic algorithm for evaluating such swaps. Are there
> any typical examples? I will be grateful for any help and hints.
> Thanks!
> Jenn Vass
> _______________________________________________
> QuantLib-users mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>

[Quantlib-users] OIS valuation

[Evgenia V. <ge...@gm...>]

Dear Quantlib users,
I need to calculate the net present value for Overnight Indexed Swap.
Since this is my first time doing this, please advise me where I can get
acquainted with the basic algorithm for evaluating such swaps. Are there
any typical examples? I will be grateful for any help and hints.
Thanks!
Jenn Vass

Re: [Quantlib-users] Sabr model parameters calibration

[Shashank C. <sha...@gm...>]

Hi Jack ,

I am trying to find the values of Rho and Nu which minimize the mean
squared error between market volatility and volatility computed using the
sabr model formula for a given set of parameters (alpha, rho, nu , beta). I
can assume Beta to be 0.5 while alpha can be ATM volatility.
Now I need to set up the calibration as explained in the MATLAB version
below

https://www.mathworks.com/help/fininst/calibrating-the-sabr-model.html

Now quantlib has the sabr model class in C++ with the formula to compute
the volatility, but I need to calibrate the parameters rho and Nu
that minimises the error function.

Hope this makes sense :)

regards
Shashank



On Mon, Aug 8, 2022 at 7:14 PM Jack G <jac...@gm...> wrote:

> Hi Shashank,
>
> What exactly are you trying to do here? SABR is a funny one because
> although it is a "model", it usually isn't used as such and is just used
> for smile interpolation at a given tenor (with different SABR "models"
> fitted to each tenor). Quite a lot of the art is about how to choose these
> adjacent smile fits.
>
> I'm not aware of an inbuilt calibrator but it should be easy enough to
> calibrate to a given vol smile. How are you interacting with QuantLib?
> There are some exams of calibrators in the cookbook I believe, and I have
> some python code for QuantLib that will do this for SABR as well if it
> help,.
>
>
> Best,
> Jack
>
>
> On Tue, 9 Aug 2022, 06:01 Shashank Choudhary, <sha...@gm...>
> wrote:
>
>> Hi ,
>>
>> How do I use the calibration engine for the SABR model parameters? I can
>> access the sabr model class and find implied volatilities for a given set
>> of parameters but I can’t locate and use the calibration engine, if there’s
>> one.
>>
>> Any help would be much appreciated :)
>>
>> Regards
>> Shashank
>> _______________________________________________
>> QuantLib-users mailing list
>> Qua...@li...
>> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>>
>>

Re: [Quantlib-users] Sabr model parameters calibration

[Jack G <jac...@gm...>]

Hi Shashank,

What exactly are you trying to do here? SABR is a funny one because
although it is a "model", it usually isn't used as such and is just used
for smile interpolation at a given tenor (with different SABR "models"
fitted to each tenor). Quite a lot of the art is about how to choose these
adjacent smile fits.

I'm not aware of an inbuilt calibrator but it should be easy enough to
calibrate to a given vol smile. How are you interacting with QuantLib?
There are some exams of calibrators in the cookbook I believe, and I have
some python code for QuantLib that will do this for SABR as well if it
help,.


Best,
Jack


On Tue, 9 Aug 2022, 06:01 Shashank Choudhary, <sha...@gm...>
wrote:

> Hi ,
>
> How do I use the calibration engine for the SABR model parameters? I can
> access the sabr model class and find implied volatilities for a given set
> of parameters but I can’t locate and use the calibration engine, if there’s
> one.
>
> Any help would be much appreciated :)
>
> Regards
> Shashank
> _______________________________________________
> QuantLib-users mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>
>

Re: [Quantlib-users] Overriding end date for CDS schedule

[<lis...@pm...>]

Thank you David.

This works on the schedule side, but from there it would fail when creating the CDS (probably because the ql.DateGeneration rule is not of CDS type).

Indeed, after setting dates as you kindly suggested, creating a CDS object with that schedule ends up failing.

quotedTrade = ql.CreditDefaultSwap( ql.Protection.Seller, 100, 0, spread, cdsSchedule,
ql.Following,ql.Actual360(),True,True,tradeDate+1,
ql.WeekendsOnly().advance(tradeDate,3*ql.Period(ql.Daily)), ql.FaceValueClaim(), ql.Actual360(True))

where the error is:

RuntimeError: protection can not start after accrual

So it seems one would first have to use a CDS rule for DateGeneration, and then find a way to replace for the non-standard last date.

Thanks again.
L
------- Original Message -------
On Monday, August 8th, 2022 at 5:53 PM, David Duarte <nh...@gm...> wrote:

> Hi,
>
> You can use next to last:
>
> tradeDate = ql.Date(20, 6, 2022)
> termDate = ql.Date(16, 11, 2022)
> cdsSchedule = ql.Schedule(tradeDate, termDate,
> 3*ql.Period(ql.Monthly),
> ql.WeekendsOnly(),
> ql.Following, ql.Unadjusted,
> ql.DateGeneration.Backward, False, ql.Date(), ql.Date(20,9,2022))
>
> (Date(20,6,2022), Date(20,9,2022), Date(16,11,2022))
>
> On Mon, 8 Aug 2022 at 21:15, listsubs--- via QuantLib-users <qua...@li...> wrote:
>
>> Hi everyone - I'm trying to price a CDS with a non-standard maturity (11/16/2022), as of today. Tried many variants and looked online, but couldn't find a solution.
>>
>> When I create a schedule:
>>
>> cdsSchedule = ql.Schedule(tradeDate, termDate,
>> 3*ql.Period(ql.Monthly),
>> ql.WeekendsOnly(),
>> ql.Following, ql.Unadjusted, ql.DateGeneration.CDS, False)
>>
>> The dates I get from the constructor are:
>>
>> cdsSchedule.dates()
>> (Date(20,6,2022), Date(20,9,2022), Date(20,12,2022))
>>
>> Is there a simple way to override the Date(20,12,2022) entry and replace it by Date(16,11,2022) ?
>>
>> Many thanks!L
>>
>> _______________________________________________
>> QuantLib-users mailing list
>> Qua...@li...
>> https://lists.sourceforge.net/lists/listinfo/quantlib-users

[Quantlib-users] Sabr model parameters calibration

[Shashank C. <sha...@gm...>]

Hi ,

How do I use the calibration engine for the SABR model parameters? I can
access the sabr model class and find implied volatilities for a given set
of parameters but I can’t locate and use the calibration engine, if there’s
one.

Any help would be much appreciated :)

Regards
Shashank

Re: [Quantlib-users] Overriding end date for CDS schedule

[David D. <nh...@gm...>]

Hi,

You can use next to last:

tradeDate = ql.Date(20, 6, 2022)
termDate = ql.Date(16, 11, 2022)
cdsSchedule = ql.Schedule(tradeDate, termDate,
                          3*ql.Period(ql.Monthly),
                          ql.WeekendsOnly(),
                          ql.Following, ql.Unadjusted,
                          ql.DateGeneration.Backward, False, ql.Date(),
ql.Date(20,9,2022))


*(Date(20,6,2022), Date(20,9,2022), Date(16,11,2022))*




On Mon, 8 Aug 2022 at 21:15, listsubs--- via QuantLib-users <
qua...@li...> wrote:

> Hi everyone - I'm trying to price a CDS with a non-standard maturity
> (11/16/2022), as of today. Tried many variants and looked online, but
> couldn't find a solution.
>
>
> When I create a schedule:
>
> *        cdsSchedule = ql.Schedule(tradeDate, termDate,*
> *                                  3*ql.Period(ql.Monthly),*
> *                                  ql.WeekendsOnly(),*
> *                                  ql.Following, ql.Unadjusted,*
> *                                  ql.DateGeneration.CDS, False)*
>
> The dates I get from the constructor are:
>
>
> *cdsSchedule.dates()(Date(20,6,2022), Date(20,9,2022), Date(20,12,2022))*
>
>
> Is there a simple way to override the Date(20,12,2022) entry and replace
> it by Date(16,11,2022) ?
>
> Many thanks!
> L
> _______________________________________________
> QuantLib-users mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>

[Quantlib-users] Overriding end date for CDS schedule

[<lis...@pm...>]

Hi everyone - I'm trying to price a CDS with a non-standard maturity (11/16/2022), as of today. Tried many variants and looked online, but couldn't find a solution.

When I create a schedule:

cdsSchedule = ql.Schedule(tradeDate, termDate,
3*ql.Period(ql.Monthly),
ql.WeekendsOnly(),
ql.Following, ql.Unadjusted, ql.DateGeneration.CDS, False)

The dates I get from the constructor are:

cdsSchedule.dates()
(Date(20,6,2022), Date(20,9,2022), Date(20,12,2022))

Is there a simple way to override the Date(20,12,2022) entry and replace it by Date(16,11,2022) ?

Many thanks!L

Re: [Quantlib-users] Bond forward NPV

[Peter C. <pca...@gm...>]

Hi Francois,

sounds right. As for the unit test it seems they're all set up with
eval date = 2022-03-07 and forward date = 2022-03-10, i.e. a very
short forward period. Which could be the reason why the tests don't
detect this issue?

Best
Peter

On Sun, 31 Jul 2022 at 19:16, Francois Botha <ig...@gm...> wrote:
>
> Hi all,
>
> I'm doing some fixed rate bond forward calculations and I'm trying to understand the forward value.
>
> In forward.cpp, the code is:
>     Real Forward::forwardValue() const {
>         calculate();
>         return (underlyingSpotValue_ - underlyingIncome_ )/
>                discountCurve_->discount(maturityDate_);
>     }
>
> and in bondforward.cpp, the fields are set as:
>         underlyingSpotValue_ = spotValue();
>         underlyingIncome_    = spotIncome(incomeDiscountCurve_);
> and
>     Real BondForward::spotValue() const {
>         return bond_->dirtyPrice();
>     }
>
> So underlyingSpotValue_ is hence the bond dirty price (per 100 nominal) and underlyingIncome_ is the value of the bond coupons, but not per 100 nominal, but rather per the actual nominal of the bond.
>
> This looks like an unintended discrepancy in notional amounts and would explain why the forward price and NPV for the bond forwards aren't close to what I expect.
>
> There are however unit tests (e.g. testFuturesPriceReplication()) that explicitly test this.
>
> Looking forward to an expert opinion here.
>
> thanks
> Francois Botha
>
> _______________________________________________
> QuantLib-users mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-users

[Quantlib-users] Forwards not matching nodes in monotone convex interpolation

[Tom A. <tw...@ur...>]

Hello,

If i build an interpolated forward curve, then i can get the nodes (date - 
rate pairs) of the interpolation out by doing:

curve->nodes()

and i can get instantaneous(-ish) forward rates out by doing:

curve->forwardRate(date, date, curve->dayCounter(), Compounding::Continuous).rate();

Should i in general expect that if i get the instantaneous forward rate on 
a date corresponding to a node, then it will equal the node's rate (modulo 
some small arithmetic errors)?

I would have naively throught i should. And looking at some 
interpolations, this seems to be the case.

But it seems not to be the case for monotone convex interpolation.

Monotone convex is just a piecewise quadratic spline under the hood, 
really; the complexity is in how the spline is constructed (although the 
original paper and the QuantLib implementation both somewhat obscure this 
fact). So i would have expected the nodes to behave like nodes of any 
other interpolation.

Is my expectation wrong? Or could this be a mistake in the implementation 
of monotone convex interpolation?

Thanks,
tom

-- 
Computation is the basis of all life

Re: [Quantlib-users] Rate curves with Nelson Siegel Svensson

[Luigi B. <lui...@gm...>]

Hello Claudio,
    you can modify the FittedBondDiscountCurve class so that it can use
generic RateHelper instances, but it will miss some features.  Also, do
keep into account that while PiecewiseYieldCurve creates a curve that
reproduces the inputs exactly, FittedBondDiscountCurve doesn't, so I would
check if that's acceptable for you.

This said: you can replace BondHelper with RateHelper in the
FittedBondDiscountCurve class, but you'll have to comment out some code
that would not compile.  One such place is <
https://github.com/lballabio/QuantLib/blob/master/ql/termstructures/yield/fittedbonddiscountcurve.cpp#L98-L110>;
these are a few checks and you can live without them.  Another place is <
https://github.com/lballabio/QuantLib/blob/master/ql/termstructures/yield/fittedbonddiscountcurve.cpp#L98-L110>:
commenting this out means that you can't rely on the curve for calculating
the calibration weights and you'll have to pass them in explicitly.

Hope this helps,
    Luigi


On Tue, Aug 2, 2022 at 3:39 PM Claudio D'Angelo <
cla...@so...> wrote:

> Hello all,
>
> let me introduce myself, I'm a java developer, I need to modify an
> application that is usimg quantlib (via SWIG).
>
> Currently this application is creating curves using the class
> PiecewiseYieldCurve and passing rates like RfaRate and DepositRate, both
> using a SimpleQuote containing the yield value of the rate.
>
> Now I would interpolate/fit the curve using the NSS, checking the API
> seems the only class that can implement this fitting is the
> FittedBondDiscountCurve. Unfortunately this class wants in input a
> BondHelper or a Fixed RateBondHelper, both of them work using bond data
> and the price.
>
> Is it possible to implement a curve using the NSS but with rates with
> only yield values (naturally with other data but not a bond and a price
> as input).
>
> I don't know if I was clear, unfortunately I don't have experience with
> quant, quantlib and C++ and I need help in order to understand better
> and  resolve my issue.
>
> Thank you very much in advance to all.
>
>
> Claudio
>
>
>
>
> _______________________________________________
> QuantLib-users mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>

Re: [Quantlib-users] Discount and forward Curve building via CSA Discounting for IRS/CCIRS valuation

[Jen V. <ge...@gm...>]

Hi Ben, Marcin!

Thank you for information. I will delve into the subtleties.

Regards,
Jen Vass

вт, 2 авг. 2022 г. в 16:03, Marcin Rybacki <mry...@gm...>:

> Hi Jen, Ben,
>
> Yes, you can build a CSA curve directly in QuantLib. For that you could
> use the cross currency basis swap rate helper (either constant or resetting
> notional options are available) or the FX swap rate helper to imply the
> basis from FX instruments.
> The helpers take the collateral currency risk-free curve handle as
> parameter, so the final bootstrapped curve will be the desired CSA curve.
>
> For references in C++ you could check the unit tests for cross currency
> rate helpers:
>
> https://github.com/lballabio/QuantLib/blob/master/test-suite/crosscurrencyratehelpers.cpp
>
> There are also unit tests in Python that demonstrate how the CSA curve can
> be built:
>
> https://github.com/lballabio/QuantLib-SWIG/blob/84b07cb77639f251b46838cbfeebdea4ca01e2ef/Python/test/ratehelpers.py#L614
>
> Hope this helps.
>
> Regards,
> Marcin
>
> On Tue, 2 Aug 2022 at 14:45, Ben Watson <ben...@ma...>
> wrote:
>
>> It supports a different discount curve to the forward curve. For CSA
>> discounting I manually built the curves from the XCCY basis curves and the
>> local collateral curve. This was done by manually FX adjusting the DF from
>> using XCCY curves and building a new curve from the discount factors.
>>
>>
>>
>> However with the newly RFR XCCY basis being directly quoted just need to
>> add the basis to your RFR curves….
>>
>> For example I have a SOFR.USD curve, and there is a direct RFR XCCY basis
>> to get to SONIA. So add the basis to the SONIA curve and you get SOFR.GBP –
>> this becomes your collateral curve when GBP is posted against a USD swap.
>>
>>
>>
>> Hope that help
>>
>>
>>
>> Ben
>>
>>
>>
>>
>>
>> *From:* Jen Vass <ge...@gm...>
>> *Sent:* Tuesday, 2 August 2022 9:11 PM
>> *To:* Qua...@li...
>> *Subject:* [Quantlib-users] Discount and forward Curve building via CSA
>> Discounting for IRS/CCIRS valuation
>>
>>
>>
>> Dear quantlib users!
>>
>>
>>
>> I need your help. Could you please advise - does quantlib support CSA
>> discounting when collateral posted in difference currencies? Are there any
>> examples?
>>
>>
>>
>> Thank you in advance,
>>
>> Eugenia Vaissel
>> _______________________________________________
>> QuantLib-users mailing list
>> Qua...@li...
>> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>>
>

[Quantlib-users] Rate curves with Nelson Siegel Svensson

[Claudio D'A. <cla...@so...>]

Hello all,

let me introduce myself, I'm a java developer, I need to modify an 
application that is usimg quantlib (via SWIG).

Currently this application is creating curves using the class 
PiecewiseYieldCurve and passing rates like RfaRate and DepositRate, both 
using a SimpleQuote containing the yield value of the rate.

Now I would interpolate/fit the curve using the NSS, checking the API 
seems the only class that can implement this fitting is the 
FittedBondDiscountCurve. Unfortunately this class wants in input a 
BondHelper or a Fixed RateBondHelper, both of them work using bond data 
and the price.

Is it possible to implement a curve using the NSS but with rates with 
only yield values (naturally with other data but not a bond and a price 
as input).

I don't know if I was clear, unfortunately I don't have experience with 
quant, quantlib and C++ and I need help in order to understand better 
and  resolve my issue.

Thank you very much in advance to all.


Claudio

Re: [Quantlib-users] Discount and forward Curve building via CSA Discounting for IRS/CCIRS valuation

[Marcin R. <mry...@gm...>]

Hi Jen, Ben,

Yes, you can build a CSA curve directly in QuantLib. For that you could use
the cross currency basis swap rate helper (either constant or resetting
notional options are available) or the FX swap rate helper to imply the
basis from FX instruments.
The helpers take the collateral currency risk-free curve handle as
parameter, so the final bootstrapped curve will be the desired CSA curve.

For references in C++ you could check the unit tests for cross currency
rate helpers:
https://github.com/lballabio/QuantLib/blob/master/test-suite/crosscurrencyratehelpers.cpp

There are also unit tests in Python that demonstrate how the CSA curve can
be built:
https://github.com/lballabio/QuantLib-SWIG/blob/84b07cb77639f251b46838cbfeebdea4ca01e2ef/Python/test/ratehelpers.py#L614

Hope this helps.

Regards,
Marcin

On Tue, 2 Aug 2022 at 14:45, Ben Watson <ben...@ma...>
wrote:

> It supports a different discount curve to the forward curve. For CSA
> discounting I manually built the curves from the XCCY basis curves and the
> local collateral curve. This was done by manually FX adjusting the DF from
> using XCCY curves and building a new curve from the discount factors.
>
>
>
> However with the newly RFR XCCY basis being directly quoted just need to
> add the basis to your RFR curves….
>
> For example I have a SOFR.USD curve, and there is a direct RFR XCCY basis
> to get to SONIA. So add the basis to the SONIA curve and you get SOFR.GBP –
> this becomes your collateral curve when GBP is posted against a USD swap.
>
>
>
> Hope that help
>
>
>
> Ben
>
>
>
>
>
> *From:* Jen Vass <ge...@gm...>
> *Sent:* Tuesday, 2 August 2022 9:11 PM
> *To:* Qua...@li...
> *Subject:* [Quantlib-users] Discount and forward Curve building via CSA
> Discounting for IRS/CCIRS valuation
>
>
>
> Dear quantlib users!
>
>
>
> I need your help. Could you please advise - does quantlib support CSA
> discounting when collateral posted in difference currencies? Are there any
> examples?
>
>
>
> Thank you in advance,
>
> Eugenia Vaissel
> _______________________________________________
> QuantLib-users mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>

Re: [Quantlib-users] Discount and forward Curve building via CSA Discounting for IRS/CCIRS valuation

[Ben W. <ben...@ma...>]

It supports a different discount curve to the forward curve. For CSA discounting I manually built the curves from the XCCY basis curves and the local collateral curve. This was done by manually FX adjusting the DF from using XCCY curves and building a new curve from the discount factors. 

 

However with the newly RFR XCCY basis being directly quoted just need to add the basis to your RFR curves….

For example I have a SOFR.USD curve, and there is a direct RFR XCCY basis to get to SONIA. So add the basis to the SONIA curve and you get SOFR.GBP – this becomes your collateral curve when GBP is posted against a USD swap.

 

Hope that help

 

Ben

 

 

From: Jen Vass <ge...@gm...> 
Sent: Tuesday, 2 August 2022 9:11 PM
To: Qua...@li...
Subject: [Quantlib-users] Discount and forward Curve building via CSA Discounting for IRS/CCIRS valuation

 

Dear quantlib users!

 

I need your help. Could you please advise - does quantlib support CSA discounting when collateral posted in difference currencies? Are there any examples?

 

Thank you in advance,

Eugenia Vaissel

[Quantlib-users] Discount and forward Curve building via CSA Discounting for IRS/CCIRS valuation

[Jen V. <ge...@gm...>]

Dear quantlib users!

I need your help. Could you please advise - does quantlib support CSA
discounting when collateral posted in difference currencies? Are there any
examples?

Thank you in advance,
Eugenia Vaissel

[Quantlib-users] Bond forward NPV

[Francois B. <ig...@gm...>]

Hi all,

I'm doing some fixed rate bond forward calculations and I'm trying to
understand the forward value.

In forward.cpp, the code is:
    Real Forward::forwardValue() const {
        calculate();
        return (underlyingSpotValue_ - underlyingIncome_ )/
               discountCurve_->discount(maturityDate_);
    }

and in bondforward.cpp, the fields are set as:
        underlyingSpotValue_ = spotValue();
        underlyingIncome_    = spotIncome(incomeDiscountCurve_);
and
    Real BondForward::spotValue() const {
        return bond_->dirtyPrice();
    }

So underlyingSpotValue_ is hence the bond dirty price (per 100 nominal) and
underlyingIncome_ is the value of the bond coupons, but not per 100
nominal, but rather per the actual nominal of the bond.

This looks like an unintended discrepancy in notional amounts and would
explain why the forward price and NPV for the bond forwards aren't close to
what I expect.

There are however unit tests (e.g. testFuturesPriceReplication()) that
explicitly test this.

Looking forward to an expert opinion here.

thanks
Francois Botha

Re: [Quantlib-users] Generating a Long Dated Overnight Schedule is Slow

[Ali H. <al...@ha...>]

Actually it seems the schedule function only runs on one thread. If I
manually split the schedule into N sub-periods and then combine the
sub-schedules, the calculation time gets divided by the number of sub-
periods (up until some point where further improvements are minimal).

On Mon, 2022-07-25 at 20:26 -0400, Ali Hassani wrote:
> Hi,
> 
> Generating an overnight schedule for a long period of time (50 years
> for example) seems to take a very long time (over 10 seconds for me).
> Is there a faster way to do this? I simplified the calender and
> business day convention in the example below.
> 
> ql.Schedule(ql.Date(25,7,2022), ql.Date(25,7,2072), ql.Period('1D'),
> ql.NullCalendar(), ql.Unadjusted,ql.Unadjusted,
> ql.DateGeneration.Backward, False)
> 
> Best,
> Ali
> 
> 
> 
> 
> _______________________________________________
> QuantLib-users mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-users

[Quantlib-users] Generating a Long Dated Overnight Schedule is Slow

[Ali H. <al...@ha...>]

Hi,

Generating an overnight schedule for a long period of time (50 years
for example) seems to take a very long time (over 10 seconds for me).
Is there a faster way to do this? I simplified the calender and
business day convention in the example below.

ql.Schedule(ql.Date(25,7,2022), ql.Date(25,7,2072), ql.Period('1D'),
ql.NullCalendar(), ql.Unadjusted,ql.Unadjusted,
ql.DateGeneration.Backward, False)

Best,
Ali

[Quantlib-users] SABR Model

[Shashank C. <sha...@gm...>]

Hi Users ,

Could you help me locate the right module/files to run a sabr model on
equity derivatives? and if possible the accompanying documentation.
I found the Sabr files under the term structure folder, but that helps me
calculate IV given the parameters. I am  looking for the calibration
function.

Thank you

regards
Shashank

Re: [Quantlib-users] Quanlib on Xcode

[Shashank C. <sha...@gm...>]

Hi Magnus ,

Thank you so much for your help. I had to rebuild the libraries using sudo
make install. I missed that step last time.
I was able to compile the Bermudan Option Example :)

regards
Shashank

On Fri, Jul 22, 2022 at 4:14 AM Magnus Mencke <mm...@gm...> wrote:

> Hi Shashank
>
> The attached setup worked for me. I guess you are missing the Other Linker
> Flags = lQuantLib?
>
> Kind regards,
> Magnus
>
>
> On Fri, 22 Jul 2022, 08.49 Shashank Choudhary <sha...@gm...>
> wrote:
>
>> Hi Users ,
>>
>> I am struggling to make Quantlib work on my XCode. I followed the steps
>> on the official download page. However I get a bunch of errors while
>> compiling (Screenshot attached). I believe I have included the correct
>> search path which for my computer is /opt/local/ (screenshot attached).
>>
>> I read on one of the forums that you have to include a "quantlib
>> framework" before compiling the project. However I couldn't locate the file
>> libQuantLib.0.dylib in the Quantlib folder. So, that step (although not
>> provided in the documentation) is missing.
>>
>> I would really appreciate your help on this.
>> Thank you
>>
>> regards
>> Shashank
>>
>> _______________________________________________
>> QuantLib-users mailing list
>> Qua...@li...
>> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>>
>