Autocallable with trinomial tree

[g m-10]

Hi all,
 
I'd like to price an autocallable on equity with conditional coupons, I checked the code for callable bond in ordre to get some ideas and I wonder if I can
use a trinomial tree scheme combined with an equity model.
 
Thank you for your help!

------------------------------------------------------------------------------
Magic Quadrant for Content-Aware Data Loss Prevention
Research study explores the data loss prevention market. Includes in-depth
analysis on the changes within the DLP market, and the criteria used to
evaluate the strengths and weaknesses of these DLP solutions.
http://www.accelacomm.com/jaw/sfnl/114/51385063/
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users

[g m-10]

Hi,
 
I'm finally using an EqualProbabilitiesBinomialTree with BlackScholesLattice<T>.
My coupons are defined as follows :
For t = 1 to 3
 If S(t) >= 70% * S(0) Then
  coupon(t) = t * (4% * 1000) - sum(from i = 0 to t-1)[coupon(i)]
 Else
  coupon(t) = 0
Therefore, I think I need to move forward through the tree to compute these coupons before rolling backward to apply callability.
Is that possible on a binomial tree?
 
Many Thanks!
 

---

From: [hidden email]
To: [hidden email]
Date: Tue, 26 Jul 2011 10:40:20 +0200
Subject: [Quantlib-users] Autocallable with trinomial tree

Hi all,
 
I'd like to price an autocallable on equity with conditional coupons, I checked the code for callable bond in ordre to get some ideas and I wonder if I can
use a trinomial tree scheme combined with an equity model.
 
Thank you for your help!

------------------------------------------------------------------------------ Magic Quadrant for Content-Aware Data Loss Prevention Research study explores the data loss prevention market. Includes in-depth analysis on the changes within the DLP market, and the criteria used to evaluate the strengths and weaknesses of these DLP solutions. http://www.accelacomm.com/jaw/sfnl/114/51385063/
_______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users

------------------------------------------------------------------------------
Got Input?   Slashdot Needs You.
Take our quick survey online.  Come on, we don't ask for help often.
Plus, you'll get a chance to win $100 to spend on ThinkGeek.
http://p.sf.net/sfu/slashdot-survey
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users

[g m-10]

Hi all,
 
I get the following error when trying to use futures in building yield curve :
 
qlTermStructureMaxDate - 1st iteration: failed at 10th alive instrument, maturity December 19th, 2012, reference date November 4th, 2011: root not bracketed: f[2.22045e-016,0.979507] -> [1.751305e+018,3.392778e-001]
 
Please see the attached excel file, I'm using 1.1.0 version.
 
Thanks!
Regards,

------------------------------------------------------------------------------
RSA(R) Conference 2012
Save $700 by Nov 18
Register now
http://p.sf.net/sfu/rsa-sfdev2dev1
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users

[jean-renaud viala]

Hello

This kind of message occurs when the solver cannot find a solution in the bootstrapping algorithm

You’re using too many datapoints in your curve and all of them do not have the same liquidity

Try suppressing some of your datapoint (especiallu the long term future) they might be incompatible with the swap yields

(I’m speaking of experience s I got a lot of theses returns usually thought not on the EUR curve but then I’m not using Futurs)

regards

 

Amundi
	Jean-Renaud Viala
	Head of Diversified Quant Research
	90 Bd Pasteur - CS 21 564 Paris Cedex 05 - France
	Web: http://www.amundi.com
	Tel: [phone]
	@: [hidden email]

 

---

From: [hidden email] [mailto:[hidden email]] On Behalf Of g m
Sent: Tuesday, November 08, 2011 4:09 PM
To: [hidden email]
Subject: [Quantlib-users] Building Yield Curve

 

Hi all,
 
I get the following error when trying to use futures in building yield curve :
 
qlTermStructureMaxDate - 1st iteration: failed at 10th alive instrument, maturity December 19th, 2012, reference date November 4th, 2011: root not bracketed: f[2.22045e-016,0.979507] -> [1.751305e+018,3.392778e-001]
 
Please see the attached excel file, I'm using 1.1.0 version.
 
Thanks!
Regards,

------------------------------------------------------------------------------
RSA(R) Conference 2012
Save $700 by Nov 18
Register now
http://p.sf.net/sfu/rsa-sfdev2dev1
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users

[Bojan Nikolic]

Just to add since the problem is maturity at December 19th, 2012 it is
more likely the problem is transition from deposit to futures rates.

"Viala Jean-Renaud (AMUNDI)" <[hidden email]> writes:

> Hello
>
> This kind of message occurs when the solver cannot find a solution in
> the bootstrapping algorithm
>
> You're using too many datapoints in your curve and all of them do not
> have the same liquidity
>
> Try suppressing some of your datapoint (especiallu the long term future)
> they might be incompatible with the swap yields
>
> (I'm speaking of experience s I got a lot of theses returns usually
> thought not on the EUR curve but then I'm not using Futurs)
>
> regards
>
>  
>
> Amundi
>
>  
>
> Jean-Renaud Viala
>
>  
>
> Head of Diversified Quant Research
>
>  
>
> 90 Bd Pasteur - CS 21 564 Paris Cedex 05 - France
>
>  
>
> Web: http://www.amundi.com
>
>  
>
> Tel: [phone]
>
>  
>
> @: [hidden email]
>
>  
>
> ________________________________
>
> From: [hidden email]
> [mailto:[hidden email]] On Behalf Of g m
> Sent: Tuesday, November 08, 2011 4:09 PM
> To: [hidden email]
> Subject: [Quantlib-users] Building Yield Curve
>
>  
>
> Hi all,
>  
> I get the following error when trying to use futures in building yield
> curve :
>  
> qlTermStructureMaxDate - 1st iteration: failed at 10th alive instrument,
> maturity December 19th, 2012, reference date November 4th, 2011: root
> not bracketed: f[2.22045e-016,0.979507] -> [1.751305e+018,3.392778e-001]
>  
> Please see the attached excel file, I'm using 1.1.0 version.
>  
> Thanks!
> Regards,
>
> ------------------------------------------------------------------------------
> RSA(R) Conference 2012
> Save $700 by Nov 18
> Register now
> http://p.sf.net/sfu/rsa-sfdev2dev1
> _______________________________________________
> QuantLib-users mailing list
> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-users

--
Bojan Nikolic          ||          http://www.bnikolic.co.uk

------------------------------------------------------------------------------
RSA(R) Conference 2012
Save $700 by Nov 18
Register now
http://p.sf.net/sfu/rsa-sfdev2dev1
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users

[g m-10]

Hello,
 
Thank you for your reply.
 
Actually I noticed something weird with the method FuturesRateHelper::impliedQuote() called by BootstrapHelper::quoteError()
(If you wanna do some debug set a breakpoint on the line "Real r = solver.solve(error,ts_->accuracy_,guess,min,max)" in IterativeBootstrap<Curve>::calculate())
 
The line termStructure_->discount(latestDate_) in  FuturesRateHelper::impliedQuote() return a strange value for discount factor (2.22E-16) at December 19th, 2012 so the forwardRate retruned by the method is absurd.
 
Any ideas on why it is behaving this way?

Thanks!
Regards 
 

> From: [hidden email]

> To: [hidden email]
> CC: [hidden email]; [hidden email]
> Subject: Re: [Quantlib-users] Building Yield Curve
> Date: Tue, 8 Nov 2011 15:30:54 +0000
>
>
> Just to add since the problem is maturity at December 19th, 2012 it is
> more likely the problem is transition from deposit to futures rates.
>
> "Viala Jean-Renaud (AMUNDI)" <[hidden email]> writes:
>
> > Hello
> >
> > This kind of message occurs when the solver cannot find a solution in
> > the bootstrapping algorithm
> >
> > You're using too many datapoints in your curve and all of them do not
> > have the same liquidity
> >
> > Try suppressing some of your datapoint (especiallu the long term future)
> > they might be incompatible with the swap yields
> >
> > (I'm speaking of experience s I got a lot of theses returns usually
> > thought not on the EUR curve but then I'm not using Futurs)
> >
> > regards
> >
> >
> >
> > Amundi
> >
> >
> >
> > Jean-Renaud Viala
> >
> >
> >
> > Head of Diversified Quant Research
> >
> >
> >
> > 90 Bd Pasteur - CS 21 564 Paris Cedex 05 - France
> >
> >
> >
> > Web: http://www.amundi.com
> >
> >
> >
> > Tel: [phone]
> >
> >
> >
> > @: [hidden email]
> >
> >
> >
> > ________________________________
> >
> > From: [hidden email]
> > [mailto:[hidden email]] On Behalf Of g m
> > Sent: Tuesday, November 08, 2011 4:09 PM
> > To: [hidden email]
> > Subject: [Quantlib-users] Building Yield Curve
> >
> >
> >
> > Hi all,
> >
> > I get the following error when trying to use futures in building yield
> > curve :
> >
> > qlTermStructureMaxDate - 1st iteration: failed at 10th alive instrument,
> > maturity December 19th, 2012, reference date November 4th, 2011: root
> > not bracketed: f[2.22045e-016,0.979507] -> [1.751305e+018,3.392778e-001]
> >
> > Please see the attached excel file, I'm using 1.1.0 version.
> >
> > Thanks!
> > Regards,
> >
> > ------------------------------------------------------------------------------
> > RSA(R) Conference 2012
> > Save $700 by Nov 18
> > Register now
> > http://p.sf.net/sfu/rsa-sfdev2dev1
> > _______________________________________________
> > QuantLib-users mailing list
> > [hidden email]
> > https://lists.sourceforge.net/lists/listinfo/quantlib-users
>
>
> --
> Bojan Nikolic || http://www.bnikolic.co.uk

------------------------------------------------------------------------------
RSA(R) Conference 2012
Save $700 by Nov 18
Register now
http://p.sf.net/sfu/rsa-sfdev2dev1
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users

[Bojan Nikolic]

I think the problem is simply that the data you have imply you can earn
more money on the last 2.5 months of a 12 month deposit then you'd get
from the futures contract giving you an apparent negative forward
rate. Possibly you need to a credit adjustment to the deposit rates....

Best,
Bojan

--
Bojan Nikolic          ||          http://www.bnikolic.co.uk

------------------------------------------------------------------------------
RSA(R) Conference 2012
Save $700 by Nov 18
Register now
http://p.sf.net/sfu/rsa-sfdev2dev1
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users