Bootstrapping AUD Swaps curve
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Hi, This is the first time I have use this forum, so I hope that this question is appropriate. I am using QuantlibXL and I am trying to build an AUD swaps curve. The first problem I am facing is the BBSW index. I see that there is a Euibor and Libor, but no BBSW. I did try and create an AUD Libor but got this; “qlLibor - Unhandled currency AUD”. Looks like I perhaps need to use qlProxyIbor, but struggling to get this working (I get “qlProxyIbor - Unknown id for Type:”. Is there any examples of building an BBSW index, or even examples of building an AUD curve. That would be appreciated. Regards Ben ------------------------------------------------------------------------------ One dashboard for servers and applications across Physical-Virtual-Cloud Widest out-of-the-box monitoring support with 50+ applications Performance metrics, stats and reports that give you Actionable Insights Deep dive visibility with transaction tracing using APM Insight. http://ad.doubleclick.net/ddm/clk/290420510;117567292;y _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
Re: Bootstrapping AUD Swaps curve
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Hi Ben, I'm not that familiar with QuantLibXL (I'm writing this from a Linux box) but from looking at the code, it seems like you might try using qlIborIndex instead of qlLibor. The latter seems to be rather constrained in the currencies it can take. qlIborIndex has no such restriction. Hope this helps, Luigi On Tue, May 26, 2015 at 2:52 AM, Ben and Sonia <[hidden email]> wrote:
------------------------------------------------------------------------------ One dashboard for servers and applications across Physical-Virtual-Cloud Widest out-of-the-box monitoring support with 50+ applications Performance metrics, stats and reports that give you Actionable Insights Deep dive visibility with transaction tracing using APM Insight. http://ad.doubleclick.net/ddm/clk/290420510;117567292;y _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
Re: Bootstrapping AUD Swaps curve
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Hi Luigi, That seems to have worked – many thanks. One other question I could not resolve was the use of BAB futures (Bank Accepted Bill Futures) that trade in the AUD market. These do not have the same expiry convention to IMM contracts (they are the 1 day prior to the second Friday of the delivery month) rather than the are the third Wednesday. There are also some other differences in that the contracts are 90d rather than from contract date to contract date. For now it is Ok has I have switched the futures off, but I would like to have the correct underlying contracts as part of my curve construction. Are BAB dates and the underlying contracts supported in QuantLib? Regards Ben From: Luigi Ballabio [mailto:[hidden email]] Hi Ben, I'm not that familiar with QuantLibXL (I'm writing this from a Linux box) but from looking at the code, it seems like you might try using qlIborIndex instead of qlLibor. The latter seems to be rather constrained in the currencies it can take. qlIborIndex has no such restriction. Hope this helps, Luigi On Tue, May 26, 2015 at 2:52 AM, Ben and Sonia <[hidden email]> wrote: Hi, This is the first time I have use this forum, so I hope that this question is appropriate. I am using QuantlibXL and I am trying to build an AUD swaps curve. The first problem I am facing is the BBSW index. I see that there is a Euibor and Libor, but no BBSW. I did try and create an AUD Libor but got this; “qlLibor - Unhandled currency AUD”. Looks like I perhaps need to use qlProxyIbor, but struggling to get this working (I get “qlProxyIbor - Unknown id for Type:”. Is there any examples of building an BBSW index, or even examples of building an AUD curve. That would be appreciated. Regards Ben
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Re: Bootstrapping AUD Swaps curve
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As it happens, there's been a pull request about this submitted a few days ago; it's at <https://github.com/lballabio/quantlib/pull/244>. If you're comfortable working with unreleased code, you can check it out from Nando's fork at <https://github.com/fametrano/quantlib/tree/sfe>. Luigi On Tue, May 26, 2015 at 11:06 AM, Ben and Sonia <[hidden email]> wrote:
------------------------------------------------------------------------------ One dashboard for servers and applications across Physical-Virtual-Cloud Widest out-of-the-box monitoring support with 50+ applications Performance metrics, stats and reports that give you Actionable Insights Deep dive visibility with transaction tracing using APM Insight. http://ad.doubleclick.net/ddm/clk/290420510;117567292;y _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
Re: Bootstrapping AUD Swaps curve
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Nice one! I am not in a complete rush. How long (typically) before this would get released to prod? Ben From: Luigi Ballabio [mailto:[hidden email]] As it happens, there's been a pull request about this submitted a few days ago; it's at <https://github.com/lballabio/quantlib/pull/244>. If you're comfortable working with unreleased code, you can check it out from Nando's fork at <https://github.com/fametrano/quantlib/tree/sfe>. Luigi On Tue, May 26, 2015 at 11:06 AM, Ben and Sonia <[hidden email]> wrote: Hi Luigi, That seems to have worked – many thanks. One other question I could not resolve was the use of BAB futures (Bank Accepted Bill Futures) that trade in the AUD market. These do not have the same expiry convention to IMM contracts (they are the 1 day prior to the second Friday of the delivery month) rather than the are the third Wednesday. There are also some other differences in that the contracts are 90d rather than from contract date to contract date. For now it is Ok has I have switched the futures off, but I would like to have the correct underlying contracts as part of my curve construction. Are BAB dates and the underlying contracts supported in QuantLib? Regards Ben From: Luigi Ballabio [mailto:[hidden email]] Hi Ben, I'm not that familiar with QuantLibXL (I'm writing this from a Linux box) but from looking at the code, it seems like you might try using qlIborIndex instead of qlLibor. The latter seems to be rather constrained in the currencies it can take. qlIborIndex has no such restriction. Hope this helps, Luigi On Tue, May 26, 2015 at 2:52 AM, Ben and Sonia <[hidden email]> wrote: Hi, This is the first time I have use this forum, so I hope that this question is appropriate. I am using QuantlibXL and I am trying to build an AUD swaps curve. The first problem I am facing is the BBSW index. I see that there is a Euibor and Libor, but no BBSW. I did try and create an AUD Libor but got this; “qlLibor - Unhandled currency AUD”. Looks like I perhaps need to use qlProxyIbor, but struggling to get this working (I get “qlProxyIbor - Unknown id for Type:”. Is there any examples of building an BBSW index, or even examples of building an AUD curve. That would be appreciated. Regards Ben
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Re: Bootstrapping AUD Swaps curve
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I might squeeze it into next release, in June or early July. One thing: from what I see, the submitted code returns the second Friday as the ASX date, while you mentioned it's one day prior. If so, may you add a comment on the pull request? (You'll need a GitHub login. Otherwise, drop me a line and I'll write it.) Luigi On Tue, May 26, 2015 at 11:22 AM, Ben and Sonia <[hidden email]> wrote:
------------------------------------------------------------------------------ One dashboard for servers and applications across Physical-Virtual-Cloud Widest out-of-the-box monitoring support with 50+ applications Performance metrics, stats and reports that give you Actionable Insights Deep dive visibility with transaction tracing using APM Insight. http://ad.doubleclick.net/ddm/clk/290420510;117567292;y _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
Re: Bootstrapping AUD Swaps curve
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I don’t have a GitHub login. I would like to contribute more QuantLib, but I have some project deal lines coming up. Having said that I have recommended Quantlib to one of my clients, so if they do take Quantlib up, I will be looking a bit more closely at the AUD curve. As for the second Friday rule - it depends if you are talking about the expiry of the contract or the settlement of the contract. The rules are as such; Contract Expiry1 is 12.00 noon on the business day immediately prior to settlement day. Settlement Day is the second Friday of the delivery month. As you can see from above, one of the other oddities from the AUD futures market is that the contract expires half way through the trading day. Depending on the library (all bank I have worked for seem to handle this differently) being used, we would have to do things like push the curve date back one day on the morning expiry if the trader wanted to see the near contract. Or push the curve date forward a day to make the contract roll off. I can see in the QuantlibXL implementation, it looks like you can kill a contract by giving a priority of -1. Regards Ben From: Luigi Ballabio [mailto:[hidden email]] I might squeeze it into next release, in June or early July. One thing: from what I see, the submitted code returns the second Friday as the ASX date, while you mentioned it's one day prior. If so, may you add a comment on the pull request? (You'll need a GitHub login. Otherwise, drop me a line and I'll write it.) Luigi On Tue, May 26, 2015 at 11:22 AM, Ben and Sonia <[hidden email]> wrote: Nice one! I am not in a complete rush. How long (typically) before this would get released to prod? Ben From: Luigi Ballabio [mailto:[hidden email]]
As it happens, there's been a pull request about this submitted a few days ago; it's at <https://github.com/lballabio/quantlib/pull/244>. If you're comfortable working with unreleased code, you can check it out from Nando's fork at <https://github.com/fametrano/quantlib/tree/sfe>. Luigi On Tue, May 26, 2015 at 11:06 AM, Ben and Sonia <[hidden email]> wrote: Hi Luigi, That seems to have worked – many thanks. One other question I could not resolve was the use of BAB futures (Bank Accepted Bill Futures) that trade in the AUD market. These do not have the same expiry convention to IMM contracts (they are the 1 day prior to the second Friday of the delivery month) rather than the are the third Wednesday. There are also some other differences in that the contracts are 90d rather than from contract date to contract date. For now it is Ok has I have switched the futures off, but I would like to have the correct underlying contracts as part of my curve construction. Are BAB dates and the underlying contracts supported in QuantLib? Regards Ben From: Luigi Ballabio [mailto:[hidden email]] Hi Ben, I'm not that familiar with QuantLibXL (I'm writing this from a Linux box) but from looking at the code, it seems like you might try using qlIborIndex instead of qlLibor. The latter seems to be rather constrained in the currencies it can take. qlIborIndex has no such restriction. Hope this helps, Luigi On Tue, May 26, 2015 at 2:52 AM, Ben and Sonia <[hidden email]> wrote: Hi, This is the first time I have use this forum, so I hope that this question is appropriate. I am using QuantlibXL and I am trying to build an AUD swaps curve. The first problem I am facing is the BBSW index. I see that there is a Euibor and Libor, but no BBSW. I did try and create an AUD Libor but got this; “qlLibor - Unhandled currency AUD”. Looks like I perhaps need to use qlProxyIbor, but struggling to get this working (I get “qlProxyIbor - Unknown id for Type:”. Is there any examples of building an BBSW index, or even examples of building an AUD curve. That would be appreciated. Regards Ben
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Re: Bootstrapping AUD Swaps curve
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Hi Ben on the master branch right now BBSW and AUD futures are properly handled. Please check the curve framework and let me know if you find any issue: I would be glad to fix it. On Wed, May 27, 2015 at 1:25 AM, Ben and Sonia <[hidden email]> wrote:
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