Canadian OIS

[emmajyu]

Hi,
I am trying to build canadian overnight curve. But the discount factors and zero rates are not correct, the gaps are 10^(-5) - 10^(-6) which is not acceptable for us.

I attached the complete file that how I use it. can you please kindly help?
inherited a new index as this way:

class CanDepo : public IborIndex {
      public:
        CanDepo(const Period& tenor,
                const Handle<YieldTermStructure>& h =
                                    Handle<YieldTermStructure>());
    };


class CanadaON : public CanDepo {
      public:
        CanadaON(const Handle<YieldTermStructure>& h =
                                    Handle<YieldTermStructure>())
        : CanDepo(Period(1, Years), h) {}
    };

 
CanDepo::CanDepo(const Period& tenor, const Handle<YieldTermStructure>& h)
    : IborIndex("Canada", tenor, 0, CADCurrency(), Canada(Canada::Settlement), ModifiedFollowing, true, Actual365Fixed(), h) {
        QL_REQUIRE(this->tenor().units()!=Days,
                   "for daily tenors (" << this->tenor() <<
                   ") dedicated DailyTenor constructor must be used");
    }


test1CADOISCurve.cpp

[Peter Caspers-4]

Hi,

  you have to set the evaluation date by adding something like

        Date settlementDate(21, June, 2012);
+ Settings::instance().evaluationDate() = settlementDate;

because the rate helpers are constructed relative to this date. The
evaluation date is by default your machine's system date.

The output of your program then is

6M Discount Factor (Target  0.9953598) 0.99535975
1Y Discount Factor (Target  0.9913474) 0.99134741
3Y Discount Factor (Target  0.9688215) 0.96882152

Just out of curiosity, where did you take the target values from ?

regards
  Peter

emmajyu <[hidden email]> writes:

> Hi,
> I am trying to build canadian overnight curve. But the discount factors and
> zero rates are not correct, the gaps are 10^(-5) - 10^(-6) which is not
> acceptable for us.
>
> I attached the complete file that how I use it. can you please kindly help?
> inherited a new index as this way:
>
> class CanDepo : public IborIndex {
>       public:
>         CanDepo(const Period& tenor,
>                 const Handle<YieldTermStructure>& h =
>                                     Handle<YieldTermStructure>());
>     };
>
>
> class CanadaON : public CanDepo {
>       public:
>         CanadaON(const Handle<YieldTermStructure>& h =
>                                     Handle<YieldTermStructure>())
>         : CanDepo(Period(1, Years), h) {}
>     };
>
>  
> CanDepo::CanDepo(const Period& tenor, const Handle<YieldTermStructure>& h)
>     : IborIndex("Canada", tenor, 0, CADCurrency(),
> Canada(Canada::Settlement), ModifiedFollowing, true, Actual365Fixed(), h) {
>         QL_REQUIRE(this->tenor().units()!=Days,
>                    "for daily tenors (" << this->tenor() <<
>                    ") dedicated DailyTenor constructor must be used");
>     }
>
>
> test1CADOISCurve.cpp
> <http://quantlib.10058.n7.nabble.com/file/n14353/test1CADOISCurve.cpp>  
>
>
>
>
> --
> View this message in context: http://quantlib.10058.n7.nabble.com/Canadian-OIS-tp14353.html
> Sent from the quantlib-users mailing list archive at Nabble.com.
>
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[emmajyu]

thanks a lot, that works.
the targets numbers are calculated by my colleague from excel vba to compare against.