Curves over Eonia
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Hi QL-Community,
I am interested in bootstrapping tenor specific forward curves over Eonia, matching the corresponding swap quotes in the market. Is it possible to do this in QL? I checked the source code. It seems that the iterative bootstrapping algorithm uses the same curve for forwards and discounting. What I need is, for example given Eonia discount curve, bootstrap a 3M forward curve to match quoted 3M swap rates. Is it possible to separate in QL discount and forward curves? Cheers, Kaya |
Re: Curves over Eonia
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Hi Kaya
> It seems that the iterative > bootstrapping algorithm uses the same curve for forwards and discounting. the iterative boostrapping algorithm bootstrap just one curve but delegates to the bootstrap-helper how to use it. It's completely feasible for the helper to use the curve being bootstrapped for forwarding and a different curve for boostrapping. This is already done, e.g. SawpRateHelper On Mon, Aug 8, 2011 at 9:54 PM, sarpkacar <[hidden email]> wrote: > I am interested in bootstrapping tenor specific forward curves over Eonia, > matching the corresponding swap quotes in the market. Is it possible to do > this in QL? It is already done in QLXL, but it is not documented. You can implement your own stuff or investigate what's available using QuantLibXL.xla > What I need is, for example given Eonia discount curve, bootstrap a 3M > forward curve to match quoted 3M swap rates. Is it possible to separate in > QL discount and forward curves? yes it is, see also my slides on the issue (all the charts have been done using QLXL implementation): http://www.statpro.com/PDF/RateCurves-final.pdf ciao -- Nando ------------------------------------------------------------------------------ uberSVN's rich system and user administration capabilities and model configuration take the hassle out of deploying and managing Subversion and the tools developers use with it. Learn more about uberSVN and get a free download at: http://p.sf.net/sfu/wandisco-dev2dev _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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Hi Nando,
Thanks for the answer. It worked, I could bootstrapp a Euribor over eonia curve.
What about the stochastic modelling of basis spread, is there already an implementation or ongoing work or any plan to incorporate it?
Regards,
Kaya
On Wed, Aug 10, 2011 at 11:32 AM, Ferdinando Ametrano <[hidden email]> wrote:
Hi Kaya ------------------------------------------------------------------------------ uberSVN's rich system and user administration capabilities and model configuration take the hassle out of deploying and managing Subversion and the tools developers use with it. Learn more about uberSVN and get a free download at: http://p.sf.net/sfu/wandisco-dev2dev _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
Re: Curves over Eonia
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On Tue, Aug 16, 2011 at 11:23 AM, SK A <[hidden email]> wrote:
> What about the stochastic modelling of basis spread, is there already an > implementation or ongoing work or any plan to incorporate it? none I know of, and without basis swap vol quotes it would be quite hard to really use a similar model. Besides I am not following literature on the subject, but I would be highly skeptical of any model not preserving time homogeneity. If there is a time homogeneous model for the basis term structure please point me at it ciao -- Nando ------------------------------------------------------------------------------ uberSVN's rich system and user administration capabilities and model configuration take the hassle out of deploying and managing Subversion and the tools developers use with it. Learn more about uberSVN and get a free download at: http://p.sf.net/sfu/wandisco-dev2dev _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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I am also not aware of such a model. But anyway as you pointed calibration is a problem. But does it mean that in practice the two curve fact is not used to price interest rate exotics? For underlyings it makes a difference but may be for derivatives it does not play such a big role, as the price mainly influenced by the volatility, rather than with what we discount.
Does some has any experience on the subject? Regards, Sarp Kaya On 22.08.2011, at 15:59, Ferdinando Ametrano <[hidden email]> wrote: > On Tue, Aug 16, 2011 at 11:23 AM, SK A <[hidden email]> wrote: >> What about the stochastic modelling of basis spread, is there already an >> implementation or ongoing work or any plan to incorporate it? > > none I know of, and without basis swap vol quotes it would be quite > hard to really use a similar model. > Besides I am not following literature on the subject, but I would be > highly skeptical of any model not preserving time homogeneity. If > there is a time homogeneous model for the basis term structure please > point me at it > > ciao -- Nando ------------------------------------------------------------------------------ EMC VNX: the world's simplest storage, starting under $10K The only unified storage solution that offers unified management Up to 160% more powerful than alternatives and 25% more efficient. Guaranteed. http://p.sf.net/sfu/emc-vnx-dev2dev _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
Re: Curves over Eonia
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> But does it mean that in practice the two curve fact is not used to price interest rate exotics?
No, two curves are used anyway since rate models with stoch basis cannot be calibrated the most common assumption is for deterministic basis, even if nobody is proud of such a choice... ------------------------------------------------------------------------------ EMC VNX: the world's simplest storage, starting under $10K The only unified storage solution that offers unified management Up to 160% more powerful than alternatives and 25% more efficient. Guaranteed. http://p.sf.net/sfu/emc-vnx-dev2dev _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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In reply to this post by sarpkacar
SK A <ska.quant <at> googlemail.com> writes:
> > > Hi Nando, > > Thanks for the answer. It worked, I could bootstrapp a Euribor over eonia curve. Hello I want to do exactly the same thing and i didn't understand how you did it Do you have more explanation ? Thanks in advance Regards Francois > > What about the stochastic modelling of basis spread, is there already an implementation or ongoing work or any plan to incorporate it? > > Regards, > Kaya > > > On Wed, Aug 10, 2011 at 11:32 AM, Ferdinando Ametrano <nando <at> ametrano.net> wrote: > > > Hi Kaya> It seems that the iterative> bootstrapping algorithm uses the same curve for forwards and discounting.the iterative boostrapping algorithm bootstrap just one curve butdelegates to the bootstrap-helper how to use it. It's completelyfeasible for the helper to use the curve being bootstrapped forforwarding and a different curve for boostrapping. This is already > done, e.g. SawpRateHelperOn Mon, Aug 8, 2011 at 9:54 PM, sarpkacar <ska.quant <at> googlemail.com> wrote:> I am interested in bootstrapping tenor specific forward curves over Eonia, > > matching the corresponding swap quotes in the market. Is it possible to do> this in QL?It is already done in QLXL, but it is not documented. You canimplement your own stuff or investigate what's available using > QuantLibXL.xla> What I need is, for example given Eonia discount curve, bootstrap a 3M> forward curve to match quoted 3M swap rates. Is it possible to separate in> QL discount and forward curves?yes it is, see also my slides on the issue (all the charts have beendone using QLXL implementation):http://www.statpro.com/PDF/RateCurves-final.pdfciao -- Nando > > > > > > ----------------------------------------------------------------------------- - > uberSVN's rich system and user administration capabilities and model > configuration take the hassle out of deploying and managing Subversion and > the tools developers use with it. Learn more about uberSVN and get a free > download at: http://p.sf.net/sfu/wandisco-dev2dev > > > _______________________________________________ > QuantLib-users mailing list > QuantLib-users <at> lists.sourceforge.net > https://lists.sourceforge.net/lists/listinfo/quantlib-users > ------------------------------------------------------------------------------ Virtualization & Cloud Management Using Capacity Planning Cloud computing makes use of virtualization - but cloud computing also focuses on allowing computing to be delivered as a service. http://www.accelacomm.com/jaw/sfnl/114/51521223/ _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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Hi Nando and Kaya,
I'd like to second Francois' request. Bootstrapping a Euribor over Eonia curve would be really useful. Is it possible without adding anything to the current version of the .xla? (If so, a stand alone example sheet would be incredibly helpful.) Many thanks, Brian > > > Hi Nando, > > Thanks for the answer. It worked, I could bootstrapp a Euribor over eonia curve. Hello I want to do exactly the same thing and i didn't understand how you did it Do you have more explanation ? Thanks in advance Regards Francois |
Re: Curves over Eonia
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The only help I can currently provide is to point at SwapRateHelper,
where you'll find the input parameter for an exogenous curve to be used for discounting while bootstrapping a forwading curve. As for updating the standalone examples, I'll try to do that before next release ciao -- Nando ------------------------------------------------------------------------------ Live Security Virtual Conference Exclusive live event will cover all the ways today's security and threat landscape has changed and how IT managers can respond. Discussions will include endpoint security, mobile security and the latest in malware threats. http://www.accelacomm.com/jaw/sfrnl04242012/114/50122263/ _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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