Copula

[Ferdinando M. Ametrano-3]

Hi all

is there any open source implementation of (Gaussian) Copula?
Anyone willing to contribute it to QuantLib?

thanks

ciao -- Nando

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[Luigi Ballabio]

On Thu, 2008-01-10 at 12:03 +0100, Ferdinando Ametrano wrote:
> is there any open source implementation of (Gaussian) Copula?
> Anyone willing to contribute it to QuantLib?

I've received a contribution on credit derivatives which includes it.
I'll be adding it to the repository shortly.

Luigi


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-- Harry S. Truman



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[elton wang]

Hi All,
In the sample code of swapvaluation.cpp, for the swap
rate helper, the fixed leg convention is set to
Unadjusted; If I want to comparing with the US market
data (ussw2 crncy on Bloomberg for example), what
should I set this fixedlegconvention?

Also, I guess the floating leg convention is always
ModifiedFollowing?

Thanks.




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[elton wang]

Hello,
Here is a beginner question:
in any of the YieldTermStructure in quantlib, how's
the discount factor between evaluation date and
settlement date determined? i.e., it forces to
Discount factor=1 for settlement date or for
evaluation date?

In the swapevalution.cpp sample file, there is no
input for overnight rate quote, so I was wondering how
to count the discount between these two dates.

Thanks.


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[FORNAROLA CHIARA-3]

Hi there,
for USSW2 on BBG shouid be modified following.
You can verify it by your self playing with SWPM.

Chiara

>-----Original Message-----
>From: [hidden email]
[mailto:quantlib-users-

>[hidden email]] On Behalf Of elton wang
>Sent: 10 January 2008 23:11
>To: QuantLib users
>Subject: [Quantlib-users] Fixedleg Convention in Swapvaluation example
>
>Hi All,
>In the sample code of swapvaluation.cpp, for the swap
>rate helper, the fixed leg convention is set to
>Unadjusted; If I want to comparing with the US market
>data (ussw2 crncy on Bloomberg for example), what
>should I set this fixedlegconvention?
>
>Also, I guess the floating leg convention is always
>ModifiedFollowing?
>
>Thanks.
>
>
>
>
>
>_______________________________________________________________________

____
>_________
>Be a better friend, newshound, and
>know-it-all with Yahoo! Mobile.  Try it now.
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[elton wang]

Thanks Chiara,
In sample swapvaluation.cpp, why the reference date
for the curve is settlementdate not todaysdate?

say, in the sample, today 09/20, settlement 09/22, for
all the deposit rates, settlementdays is 2. if we set
the curve reference date as 09/22, would that mean all
the rates are starting from 09/24 (2+2) days later?

the settlement date of swap should not be the same as
the reference date for building the curve, is it
right?


        Date todaysDate =
calendar.advance(settlementDate, -fixingDays, Days);
        Settings::instance().evaluationDate() =
todaysDate;

        boost::shared_ptr<RateHelper> d1w(new
DepositRateHelper(
            Handle<Quote>(d1wRate),
            1*Weeks, fixingDays,
            calendar, ModifiedFollowing,
            true, fixingDays, depositDayCounter));


 boost::shared_ptr<YieldTermStructure>
depoFutSwapTermStructure(
            new
PiecewiseYieldCurve<Discount,LogLinear>(
                                       settlementDate,
depoFutSwapInstruments,
                                     
termStructureDayCounter, tolerance));



--- FORNAROLA CHIARA <[hidden email]>
wrote:

> Hi there,
> for USSW2 on BBG shouid be modified following.
> You can verify it by your self playing with SWPM.
>
> Chiara
>
> >-----Original Message-----
> >From: [hidden email]
> [mailto:quantlib-users-
> >[hidden email]] On Behalf Of elton
> wang
> >Sent: 10 January 2008 23:11
> >To: QuantLib users
> >Subject: [Quantlib-users] Fixedleg Convention in
> Swapvaluation example
> >
> >Hi All,
> >In the sample code of swapvaluation.cpp, for the
> swap
> >rate helper, the fixed leg convention is set to
> >Unadjusted; If I want to comparing with the US
> market
> >data (ussw2 crncy on Bloomberg for example), what
> >should I set this fixedlegconvention?
> >
> >Also, I guess the floating leg convention is always
> >ModifiedFollowing?
> >
> >Thanks.
> >
> >
> >
> >
> >
>
>_______________________________________________________________________
> ____
> >_________
> >Be a better friend, newshound, and
> >know-it-all with Yahoo! Mobile.  Try it now.
>
>http://mobile.yahoo.com/;_ylt=Ahu06i62sR8HDtDypao8Wcj9tAcJ
> >
> >
>
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> >just about anything Open Source.
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> >e
> >_______________________________________________
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>
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>

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