Curves
Locked
 
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Dear all, I
am working on Curves, I would like to download and test the
implementation done by FERDINANDO M. AMETRANO AND MARCO BIANCHETTI in
their paper ''BOOTSTRAPPING THE ILLIQUIDITY MULTIPLE YIELD CURVES CONSTRUCTION FOR MARKET COHERENT FORWARD RATES ESTIMATION'' The
paper states that the code can be found at revision 15931 in the
QuantLib SVN repository. However, at the beginning of June 2013, the
QuantLib project migrated its
code repository to Git and I don't know how to access it now. Please can you help me? Thanks in advance! Regards, ------------------------------------------------------------------------------ WatchGuard Dimension instantly turns raw network data into actionable security intelligence. It gives you real-time visual feedback on key security issues and trends. Skip the complicated setup - simply import a virtual appliance and go from zero to informed in seconds. http://pubads.g.doubleclick.net/gampad/clk?id=123612991&iu=/4140/ostg.clktrk _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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Hello,
there's no need to get that particular revision. The implementation is still available in the latest release. Luigi On Wed, Jan 29, 2014 at 5:31 PM, Mbongo Nkounga Jeffrey Ted Johnattan <[hidden email]> wrote: > Dear all, > > I am working on Curves, I would like to download and test the implementation > done by FERDINANDO M. AMETRANO AND MARCO BIANCHETTI in their paper > ''BOOTSTRAPPING THE ILLIQUIDITY MULTIPLE YIELD CURVES CONSTRUCTION FOR > MARKET COHERENT FORWARD RATES ESTIMATION'' > > The paper states that the code can be found at revision 15931 in the > QuantLib SVN repository. However, at the beginning of June 2013, the > QuantLib project migrated its code repository to Git and I don't know how to > access it now. > > Please can you help me? > > Thanks in advance! > > > Regards, > > Jeffrey > > ------------------------------------------------------------------------------ > WatchGuard Dimension instantly turns raw network data into actionable > security intelligence. It gives you real-time visual feedback on key > security issues and trends. Skip the complicated setup - simply import > a virtual appliance and go from zero to informed in seconds. > http://pubads.g.doubleclick.net/gampad/clk?id=123612991&iu=/4140/ostg.clktrk > _______________________________________________ > QuantLib-users mailing list > [hidden email] > https://lists.sourceforge.net/lists/listinfo/quantlib-users > -- <https://implementingquantlib.blogspot.com> <https://twitter.com/lballabio> ------------------------------------------------------------------------------ WatchGuard Dimension instantly turns raw network data into actionable security intelligence. It gives you real-time visual feedback on key security issues and trends. Skip the complicated setup - simply import a virtual appliance and go from zero to informed in seconds. http://pubads.g.doubleclick.net/gampad/clk?id=123612991&iu=/4140/ostg.clktrk _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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Hi Luigi! Btw, is there any curve building algorithm for illiquid bonds? Cheers, Am 29.01.2014 20:41 schrieb "Luigi Ballabio" <[hidden email]>:
Hello, ------------------------------------------------------------------------------ WatchGuard Dimension instantly turns raw network data into actionable security intelligence. It gives you real-time visual feedback on key security issues and trends. Skip the complicated setup - simply import a virtual appliance and go from zero to informed in seconds. http://pubads.g.doubleclick.net/gampad/clk?id=123612991&iu=/4140/ostg.clktrk _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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Dear Luigi, Could you please give me the path to access the implementation in the latest release ? Thanks. Le Mercredi 29 janvier 2014 23h13, Kirill Shemyakin <[hidden email]> a écrit : Hi Luigi!
Btw, is there any curve building algorithm for illiquid bonds?
Thanks! Cheers,
Kirill Am 29.01.2014 20:41 schrieb "Luigi Ballabio" <[hidden email]>: Hello, ------------------------------------------------------------------------------ WatchGuard Dimension instantly turns raw network data into actionable security intelligence. It gives you real-time visual feedback on key security issues and trends. Skip the complicated setup - simply import a virtual appliance and go from zero to informed in seconds. http://pubads.g.doubleclick.net/gampad/clk?id=123612991&iu=/4140/ostg.clktrk _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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There are several pieces:
a) the curve implementation is in <ql/termstructures/yield/piecewiseyieldcurve.hpp>. b) the helpers used to bootstrap it on deposit, futures and swap rates are in <ql/termstructures/yield/ratehelpers.hpp> and the corresponding cpp; c) the helper used to bootstrap it on OIS rates is in <ql/termstructures/yield/oisratehelper.hpp> and the corresponding cpp. There's a few examples of putting them together; one is the example program in Examples/Swap/swapvaluation.cpp that bootstraps a curve over deposits, futures and swaps and uses it to price a few swaps. It's a bit dated, so it doesn't select the rates as explained in Ametrano and Bianchetti, but you can try to change it so that it uses the appropriate rates. Other examples of bootstrap are in the test suite, especially test-suite/piecewiseyieldcurve.cpp and test-suite/overnightindexedswap.cpp. Hope this helps getting you started. Luigi On Wed, Jan 29, 2014 at 10:41 PM, Mbongo Nkounga Jeffrey Ted Johnattan <[hidden email]> wrote: > Dear Luigi, > Could you please give me the path to access the implementation in the latest > release ? > Thanks. > > > Le Mercredi 29 janvier 2014 23h13, Kirill Shemyakin <[hidden email]> a > écrit : > Hi Luigi! > Btw, is there any curve building algorithm for illiquid bonds? > Thanks! > Cheers, > Kirill > Am 29.01.2014 20:41 schrieb "Luigi Ballabio" <[hidden email]>: > > Hello, > there's no need to get that particular revision. The > implementation is still available in the latest release. > > Luigi > > On Wed, Jan 29, 2014 at 5:31 PM, Mbongo Nkounga Jeffrey Ted Johnattan > <[hidden email]> wrote: >> Dear all, >> >> I am working on Curves, I would like to download and test the >> implementation >> done by FERDINANDO M. AMETRANO AND MARCO BIANCHETTI in their paper >> ''BOOTSTRAPPING THE ILLIQUIDITY MULTIPLE YIELD CURVES CONSTRUCTION FOR >> MARKET COHERENT FORWARD RATES ESTIMATION'' >> >> The paper states that the code can be found at revision 15931 in the >> QuantLib SVN repository. However, at the beginning of June 2013, the >> QuantLib project migrated its code repository to Git and I don't know how >> to >> access it now. >> >> Please can you help me? >> >> Thanks in advance! >> >> >> Regards, >> >> Jeffrey >> >> >> ------------------------------------------------------------------------------ >> WatchGuard Dimension instantly turns raw network data into actionable >> security intelligence. It gives you real-time visual feedback on key >> security issues and trends. Skip the complicated setup - simply import >> a virtual appliance and go from zero to informed in seconds. >> >> http://pubads.g.doubleclick.net/gampad/clk?id=123612991&iu=/4140/ostg.clktrk >> _______________________________________________ >> QuantLib-users mailing list >> [hidden email] >> https://lists.sourceforge.net/lists/listinfo/quantlib-users >> > > > > -- > <https://implementingquantlib.blogspot.com> > <https://twitter.com/lballabio> > > ------------------------------------------------------------------------------ > WatchGuard Dimension instantly turns raw network data into actionable > security intelligence. It gives you real-time visual feedback on key > security issues and trends. Skip the complicated setup - simply import > a virtual appliance and go from zero to informed in seconds. > http://pubads.g.doubleclick.net/gampad/clk?id=123612991&iu=/4140/ostg.clktrk > _______________________________________________ > QuantLib-users mailing list > [hidden email] > https://lists.sourceforge.net/lists/listinfo/quantlib-users > > > -- <https://implementingquantlib.blogspot.com> <https://twitter.com/lballabio> ------------------------------------------------------------------------------ WatchGuard Dimension instantly turns raw network data into actionable security intelligence. It gives you real-time visual feedback on key security issues and trends. Skip the complicated setup - simply import a virtual appliance and go from zero to informed in seconds. http://pubads.g.doubleclick.net/gampad/clk?id=123612991&iu=/4140/ostg.clktrk _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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1) check that you can compile and run the program swapvaluation.cpp in Examples/Swap. If you have problems, post to the mailing list and explain them. Someone will help you solve them. 2) when you have the program running, modify it so that it uses the data in the paper. You should be able to insert at least the data for deposits, futures, fra and swaps, because the program already contains the corresponding code. Again, ask on the mailing list if you have problems. I will read it, and others will, too. 3) the above still uses one curve. When it's working, you can add the second by using OIS quotes. I'll explain when you arrive there. Dear all, I have tried to follow the steps above (can someone correct please me when necessary). I am not sure the way I have used datas such as: OND, TND, SND, Tod3M,Tom3M, Tod6M, Tom6M, IMM1x7, IMM2x8, IMM3x9, IMM4x10 (I have considered IMMaxb like futures). I did not use the Convexity adjustment data given in the paper (I do not know how, can someone help me for that). In the example, when you mix, depo-FRA-swap or depo-Futures-swap should it be the same tenor ? (like FRA on Euribor3M and Eur swaps on Euribor3M ) Here is the code. #include <ql/quantlib.hpp> #ifdef BOOST_MSVC /* Uncomment the following lines to unmask floating-point exceptions. Warning: unpredictable results can arise... See http://www.wilmott.com/messageview.cfm?catid=10&threadid=9481 Is there anyone with a definitive word about this? */ // #include <float.h> // namespace { unsigned int u = _controlfp(_EM_INEXACT, _MCW_EM); } #endif #include <boost/timer.hpp> #include <iostream> #include <iomanip> using namespace QuantLib; #if defined(QL_ENABLE_SESSIONS) namespace QuantLib { Integer sessionId() { return 0; } } #endif int main(int, char* []) { try { boost::timer timer; std::cout << std::endl; /********************* *** MARKET DATA *** *********************/ Calendar calendar = TARGET(); Date settlementDate(22, September, 2004); // must be a business day settlementDate = calendar.adjust(settlementDate); Integer fixingDays = 2; Date todaysDate = calendar.advance(settlementDate, -fixingDays, Days); // nothing to do with Date::todaysDate Settings::instance().evaluationDate() = todaysDate; todaysDate = Settings::instance().evaluationDate(); std::cout << "Today: " << todaysDate.weekday() << ", " << todaysDate << std::endl; std::cout << "Settlement date: " << settlementDate.weekday() << ", " << settlementDate << std::endl; // deposits Rate dONDQuote=0.0120; //OND Rate dTNDQuote=0.0120; //TND Rate dSNDQuote=0.0120; //SND Rate d1wQuote=0.0145; Rate d2wQuote=0.0155; Rate d3wQuote=0.0160; Rate d1mQuote=0.0166; Rate d2mQuote=0.0185; Rate d3mQuote=0.0198; Rate d4mQuote=0.0200; Rate d5mQuote=0.0202; Rate d6mQuote=0.0205; Rate d7mQuote=0.0208; Rate d8mQuote=0.0209; Rate d9mQuote=0.0211; Rate d10mQuote=0.0213; Rate d11mQuote=0.0214; Rate d12mQuote=0.0216; // FRAs Underlying Euribor3M Rate Tod3MQuote=0.01927; Rate Tom3MQuote=0.01925; Rate fra1x4Quote=0.01696; Rate fra2x5Quote=0.01651; Rate fra3x6Quote=0.01612; Rate fra4x7Quote=0.01580; Rate fra5x8Quote=0.01589; Rate fra6x9Quote=0.01598; // FRAs Underlying Euribor6M Rate Tod6MQuote=0.02013; Rate Tom6MQuote=0.02000; Rate fra1x7Quote=0.01831; Rate fra2x8Quote=0.01792; Rate fra3x9Quote=0.01765; Rate fra4x10Quote=0.01742; Rate fra5x11Quote=0.01783; Rate fra6x12Quote=0.01788; Rate fra12x18Quote=0.01959; Rate fra18x24Quote=0.02352; // FRAs Underlying Euribor12M Rate fra12x24Quote=0.02256; // FRAs Underlying Euribor6M(IMM) Real IMMfra1x7Quote=98.169; Real IMMfra2x8Quote=98.204; Real IMMfra3x9Quote=98.236; Real IMMfra4x10Quote=98.257; // futures Underlying Euribor3M Real fut1Quote=98.0675; Real fut2Quote=98.3075; Real fut3Quote=98.4200; Real fut4Quote=98.3950; Real fut5Quote=98.2550; Real fut6Quote=98.1625; Real fut7Quote=97.9725; Real fut8Quote=97.7675; Real fut9Quote=97.5300; Real fut10Quote=97.3475; Real fut11Quote=97.1350; Real fut12Quote=96.9550; Real fut13Quote=96.7650; // swaps on Euribor6M Rate s1yQuote=0.01933; Rate s15MQuote=0.01858; Rate s18MQuote=0.01947; Rate s21MQuote=0.01954; Rate s2yQuote=0.02059; Rate s3yQuote=0.02350; Rate s4yQuote=0.02604; Rate s5yQuote=0.02808; Rate s6yQuote=0.02983; Rate s7yQuote=0.03136; Rate s8yQuote=0.03268; Rate s9yQuote=0.03383; Rate s10yQuote=0.03488; Rate s11yQuote=0.03583; Rate s12yQuote=0.03668; Rate s13yQuote=0.03738; Rate s14yQuote=0.03793; Rate s15yQuote=0.03833; Rate s16yQuote=0.03861; Rate s17yQuote=0.03877; Rate s18yQuote=0.03880; Rate s19yQuote=0.03872; Rate s20yQuote=0.03854; Rate s21yQuote=0.03827; Rate s22yQuote=0.03792; Rate s23yQuote=0.03753; Rate s24yQuote=0.03713; Rate s25yQuote=0.03672; Rate s26yQuote=0.03635; Rate s27yQuote=0.03601; Rate s28yQuote=0.03569; Rate s29yQuote=0.03539; Rate s30yQuote=0.03510; Rate s35yQuote=0.03377; Rate s40yQuote=0.03266; Rate s50yQuote=0.03145; Rate s60yQuote=0.03076; // // IMM swaps on Euribor3M // Rate s1s1yQuote=0.01668; Rate s2s1yQuote=0.01704; Rate s3s1yQuote=0.01817; Rate s4s1yQuote=0.01975; Rate s1s2yQuote=0.01910; Rate s2s2yQuote=0.02029; Rate s1s3yQuote=0.02256; // swaps on Euribor1M Rate s2x1sQuote=0.01456; Rate s3x1sQuote=0.01406; Rate s4x1sQuote=0.01365; Rate s5x1sQuote=0.01337; Rate s6x1sQuote=0.01322; Rate s7x1sQuote=0.01316; Rate s8x1sQuote=0.01315; Rate s9x1sQuote=0.01321; Rate s10x1sQuote=0.01330; Rate s11x1sQuote=0.01347; Rate s12x1sQuote=0.01355; /******************** *** QUOTES *** ********************/ // SimpleQuote stores a value which can be manually changed; // other Quote subclasses could read the value from a database // or some kind of data feed. // deposits boost::shared_ptr<Quote> dONDRate(new SimpleQuote(dONDQuote)); boost::shared_ptr<Quote> dTNDRate(new SimpleQuote(dTNDQuote)); boost::shared_ptr<Quote> dSNDRate(new SimpleQuote(dSNDQuote)); boost::shared_ptr<Quote> d1wRate(new SimpleQuote(d1wQuote)); boost::shared_ptr<Quote> d2wRate(new SimpleQuote(d2wQuote)); boost::shared_ptr<Quote> d3wRate(new SimpleQuote(d3wQuote)); boost::shared_ptr<Quote> d1mRate(new SimpleQuote(d1mQuote)); boost::shared_ptr<Quote> d2mRate(new SimpleQuote(d2mQuote)); boost::shared_ptr<Quote> d3mRate(new SimpleQuote(d3mQuote)); boost::shared_ptr<Quote> d4mRate(new SimpleQuote(d4mQuote)); boost::shared_ptr<Quote> d5mRate(new SimpleQuote(d5mQuote)); boost::shared_ptr<Quote> d6mRate(new SimpleQuote(d6mQuote)); boost::shared_ptr<Quote> d7mRate(new SimpleQuote(d7mQuote)); boost::shared_ptr<Quote> d8mRate(new SimpleQuote(d8mQuote)); boost::shared_ptr<Quote> d9mRate(new SimpleQuote(d9mQuote)); boost::shared_ptr<Quote> d10mRate(new SimpleQuote(d10mQuote)); boost::shared_ptr<Quote> d11mRate(new SimpleQuote(d11mQuote)); boost::shared_ptr<Quote> d12mRate(new SimpleQuote(d12mQuote)); // FRAs Underlying Euribor3M boost::shared_ptr<Quote> Tod3MRate(new SimpleQuote(Tod3MQuote)); boost::shared_ptr<Quote> Tom3MRate(new SimpleQuote(Tom3MQuote)); boost::shared_ptr<Quote> fra1x4Rate(new SimpleQuote(fra1x4Quote)); boost::shared_ptr<Quote> fra2x5Rate(new SimpleQuote(fra2x5Quote)); boost::shared_ptr<Quote> fra3x6Rate(new SimpleQuote(fra3x6Quote)); boost::shared_ptr<Quote> fra4x7Rate(new SimpleQuote(fra4x7Quote)); boost::shared_ptr<Quote> fra5x8Rate(new SimpleQuote(fra5x8Quote)); boost::shared_ptr<Quote> fra6x9Rate(new SimpleQuote(fra6x9Quote)); // FRAs Underlying Euribor6M boost::shared_ptr<Quote> Tod6MRate(new SimpleQuote(Tod6MQuote)); boost::shared_ptr<Quote> Tom6MRate(new SimpleQuote(Tom6MQuote)); boost::shared_ptr<Quote> fra1x7Rate(new SimpleQuote(fra1x7Quote)); boost::shared_ptr<Quote> fra2x8Rate(new SimpleQuote(fra2x8Quote)); boost::shared_ptr<Quote> fra3x9Rate(new SimpleQuote(fra3x9Quote)); boost::shared_ptr<Quote> fra4x10Rate(new SimpleQuote(fra4x10Quote)); boost::shared_ptr<Quote> fra5x11Rate(new SimpleQuote(fra5x11Quote)); boost::shared_ptr<Quote> fra6x12Rate(new SimpleQuote(fra6x12Quote)); boost::shared_ptr<Quote> fra12x18Rate(new SimpleQuote(fra12x18Quote)); boost::shared_ptr<Quote> fra18x24Rate(new SimpleQuote(fra18x24Quote)); // FRAs Underlying Euribor12M boost::shared_ptr<Quote> fra12x24Rate(new SimpleQuote(fra12x24Quote)); // FRAs Underlying Euribor6M(IMM) boost::shared_ptr<Quote> IMMfra1x7Price(new SimpleQuote(IMMfra1x7Quote)); boost::shared_ptr<Quote> IMMfra2x8Price(new SimpleQuote(IMMfra2x8Quote)); boost::shared_ptr<Quote> IMMfra3x9Price(new SimpleQuote(IMMfra3x9Quote)); boost::shared_ptr<Quote> IMMfra4x10Price(new SimpleQuote(IMMfra4x10Quote)); // futures boost::shared_ptr<Quote> fut1Price(new SimpleQuote(fut1Quote)); boost::shared_ptr<Quote> fut2Price(new SimpleQuote(fut2Quote)); boost::shared_ptr<Quote> fut3Price(new SimpleQuote(fut3Quote)); boost::shared_ptr<Quote> fut4Price(new SimpleQuote(fut4Quote)); boost::shared_ptr<Quote> fut5Price(new SimpleQuote(fut5Quote)); boost::shared_ptr<Quote> fut6Price(new SimpleQuote(fut6Quote)); boost::shared_ptr<Quote> fut7Price(new SimpleQuote(fut7Quote)); boost::shared_ptr<Quote> fut8Price(new SimpleQuote(fut8Quote)); boost::shared_ptr<Quote> fut9Price(new SimpleQuote(fut9Quote)); boost::shared_ptr<Quote> fut10Price(new SimpleQuote(fut10Quote)); boost::shared_ptr<Quote> fut11Price(new SimpleQuote(fut11Quote)); boost::shared_ptr<Quote> fut12Price(new SimpleQuote(fut12Quote)); boost::shared_ptr<Quote> fut13Price(new SimpleQuote(fut13Quote)); // swaps on Euribor6M boost::shared_ptr<Quote> s1yRate(new SimpleQuote(s1yQuote)); boost::shared_ptr<Quote> s15MRate(new SimpleQuote(s15MQuote)); boost::shared_ptr<Quote> s18MRate(new SimpleQuote(s18MQuote)); boost::shared_ptr<Quote> s21MRate(new SimpleQuote(s21MQuote)); boost::shared_ptr<Quote> s2yRate(new SimpleQuote(s2yQuote)); boost::shared_ptr<Quote> s3yRate(new SimpleQuote(s3yQuote)); boost::shared_ptr<Quote> s4yRate(new SimpleQuote(s4yQuote)); boost::shared_ptr<Quote> s5yRate(new SimpleQuote(s5yQuote)); boost::shared_ptr<Quote> s6yRate(new SimpleQuote(s6yQuote)); boost::shared_ptr<Quote> s7yRate(new SimpleQuote(s7yQuote)); boost::shared_ptr<Quote> s8yRate(new SimpleQuote(s8yQuote)); boost::shared_ptr<Quote> s9yRate(new SimpleQuote(s9yQuote)); boost::shared_ptr<Quote> s10yRate(new SimpleQuote(s10yQuote)); boost::shared_ptr<Quote> s11yRate(new SimpleQuote(s11yQuote)); boost::shared_ptr<Quote> s12yRate(new SimpleQuote(s12yQuote)); boost::shared_ptr<Quote> s13yRate(new SimpleQuote(s13yQuote)); boost::shared_ptr<Quote> s14yRate(new SimpleQuote(s14yQuote)); boost::shared_ptr<Quote> s15yRate(new SimpleQuote(s15yQuote)); boost::shared_ptr<Quote> s16yRate(new SimpleQuote(s16yQuote)); boost::shared_ptr<Quote> s17yRate(new SimpleQuote(s17yQuote)); boost::shared_ptr<Quote> s18yRate(new SimpleQuote(s18yQuote)); boost::shared_ptr<Quote> s19yRate(new SimpleQuote(s19yQuote)); boost::shared_ptr<Quote> s20yRate(new SimpleQuote(s20yQuote)); boost::shared_ptr<Quote> s21yRate(new SimpleQuote(s21yQuote)); boost::shared_ptr<Quote> s22yRate(new SimpleQuote(s22yQuote)); boost::shared_ptr<Quote> s23yRate(new SimpleQuote(s23yQuote)); boost::shared_ptr<Quote> s24yRate(new SimpleQuote(s24yQuote)); boost::shared_ptr<Quote> s25yRate(new SimpleQuote(s25yQuote)); boost::shared_ptr<Quote> s26yRate(new SimpleQuote(s26yQuote)); boost::shared_ptr<Quote> s27yRate(new SimpleQuote(s27yQuote)); boost::shared_ptr<Quote> s28yRate(new SimpleQuote(s28yQuote)); boost::shared_ptr<Quote> s29yRate(new SimpleQuote(s29yQuote)); boost::shared_ptr<Quote> s30yRate(new SimpleQuote(s30yQuote)); boost::shared_ptr<Quote> s35yRate(new SimpleQuote(s35yQuote)); boost::shared_ptr<Quote> s40yRate(new SimpleQuote(s40yQuote)); boost::shared_ptr<Quote> s50yRate(new SimpleQuote(s50yQuote)); boost::shared_ptr<Quote> s60yRate(new SimpleQuote(s60yQuote)); // IMM swaps on Euribor3M boost::shared_ptr<Quote> s1s1yRate(new SimpleQuote(s1s1yQuote)); boost::shared_ptr<Quote> s2s1yRate(new SimpleQuote(s2s1yQuote)); boost::shared_ptr<Quote> s3s1yRate(new SimpleQuote(s3s1yQuote)); boost::shared_ptr<Quote> s4s1yRate(new SimpleQuote(s4s1yQuote)); boost::shared_ptr<Quote> s1s2yRate(new SimpleQuote(s1s2yQuote)); boost::shared_ptr<Quote> s2s2yRate(new SimpleQuote(s2s2yQuote)); boost::shared_ptr<Quote> s1s3yRate(new SimpleQuote(s1s3yQuote)); // swaps on Euribor1M boost::shared_ptr<Quote> s2x1sRate(new SimpleQuote(s2x1sQuote)); boost::shared_ptr<Quote> s3x1sRate(new SimpleQuote(s3x1sQuote)); boost::shared_ptr<Quote> s4x1sRate(new SimpleQuote(s4x1sQuote)); boost::shared_ptr<Quote> s5x1sRate(new SimpleQuote(s5x1sQuote)); boost::shared_ptr<Quote> s6x1sRate(new SimpleQuote(s6x1sQuote)); boost::shared_ptr<Quote> s7x1sRate(new SimpleQuote(s7x1sQuote)); boost::shared_ptr<Quote> s8x1sRate(new SimpleQuote(s8x1sQuote)); boost::shared_ptr<Quote> s9x1sRate(new SimpleQuote(s9x1sQuote)); boost::shared_ptr<Quote> s10x1sRate(new SimpleQuote(s10x1sQuote)); boost::shared_ptr<Quote> s11x1sRate(new SimpleQuote(s11x1sQuote)); boost::shared_ptr<Quote> s12x1sRate(new SimpleQuote(s12x1sQuote)); /********************* *** RATE HELPERS *** *********************/ // RateHelpers are built from the above quotes together with // other instrument dependant infos. Quotes are passed in // relinkable handles which could be relinked to some other // data source later. // deposits DayCounter depositDayCounter = Actual360(); boost::shared_ptr<RateHelper> dOND(new DepositRateHelper( Handle<Quote>(dONDRate), 1*Days, fixingDays, calendar, Following, false, depositDayCounter)); boost::shared_ptr<RateHelper> dTND(new DepositRateHelper( Handle<Quote>(dTNDRate), 1*Days, fixingDays, calendar, Following, false, depositDayCounter)); boost::shared_ptr<RateHelper> dSND(new DepositRateHelper( Handle<Quote>(dSNDRate), 1*Days, fixingDays, calendar, Following, false, depositDayCounter)); boost::shared_ptr<RateHelper> d1w(new DepositRateHelper( Handle<Quote>(d1wRate), 1*Weeks, fixingDays, calendar, Following, false, depositDayCounter)); boost::shared_ptr<RateHelper> d2w(new DepositRateHelper( Handle<Quote>(d2wRate), 2*Weeks, fixingDays, calendar, Following, false, depositDayCounter)); boost::shared_ptr<RateHelper> d3w(new DepositRateHelper( Handle<Quote>(d3wRate), 3*Weeks, fixingDays, calendar, Following, false, depositDayCounter)); boost::shared_ptr<RateHelper> d1m(new DepositRateHelper( Handle<Quote>(d1mRate), 1*Months, fixingDays, calendar, ModifiedFollowing, true, depositDayCounter)); boost::shared_ptr<RateHelper> d2m(new DepositRateHelper( Handle<Quote>(d2mRate), 2*Months, fixingDays, calendar, ModifiedFollowing, true, depositDayCounter)); boost::shared_ptr<RateHelper> d3m(new DepositRateHelper( Handle<Quote>(d3mRate), 3*Months, fixingDays, calendar, ModifiedFollowing, true, depositDayCounter)); boost::shared_ptr<RateHelper> d4m(new DepositRateHelper( Handle<Quote>(d4mRate), 4*Months, fixingDays, calendar, ModifiedFollowing, true, depositDayCounter)); boost::shared_ptr<RateHelper> d5m(new DepositRateHelper( Handle<Quote>(d5mRate), 5*Months, fixingDays, calendar, ModifiedFollowing, true, depositDayCounter)); boost::shared_ptr<RateHelper> d6m(new DepositRateHelper( Handle<Quote>(d6mRate), 6*Months, fixingDays, calendar, ModifiedFollowing, true, depositDayCounter)); boost::shared_ptr<RateHelper> d7m(new DepositRateHelper( Handle<Quote>(d7mRate), 7*Months, fixingDays, calendar, ModifiedFollowing, true, depositDayCounter)); boost::shared_ptr<RateHelper> d8m(new DepositRateHelper( Handle<Quote>(d8mRate), 8*Months, fixingDays, calendar, ModifiedFollowing, true, depositDayCounter)); boost::shared_ptr<RateHelper> d9m(new DepositRateHelper( Handle<Quote>(d9mRate), 9*Months, fixingDays, calendar, ModifiedFollowing, true, depositDayCounter)); boost::shared_ptr<RateHelper> d10m(new DepositRateHelper( Handle<Quote>(d10mRate), 10*Months, fixingDays, calendar, ModifiedFollowing, true, depositDayCounter)); boost::shared_ptr<RateHelper> d11m(new DepositRateHelper( Handle<Quote>(d11mRate), 11*Months, fixingDays, calendar, ModifiedFollowing, true, depositDayCounter)); boost::shared_ptr<RateHelper> d12m(new DepositRateHelper( Handle<Quote>(d12mRate), 12*Months, fixingDays, calendar, ModifiedFollowing, true, depositDayCounter)); // FRAs Underlying Euribor3M boost::shared_ptr<RateHelper> Tod3M(new FraRateHelper( Handle<Quote>(Tod3MRate), 0, 3, fixingDays, calendar, ModifiedFollowing, true, depositDayCounter)); boost::shared_ptr<RateHelper> Tom3M(new FraRateHelper( Handle<Quote>(Tom3MRate), 0, 3, fixingDays, calendar, ModifiedFollowing, true, depositDayCounter)); boost::shared_ptr<RateHelper> fra1x4(new FraRateHelper( Handle<Quote>(fra1x4Rate), 1, 4, fixingDays, calendar, ModifiedFollowing, true, depositDayCounter)); boost::shared_ptr<RateHelper> fra2x5(new FraRateHelper( Handle<Quote>(fra2x5Rate), 2, 5, fixingDays, calendar, ModifiedFollowing, true, depositDayCounter)); boost::shared_ptr<RateHelper> fra3x6(new FraRateHelper( Handle<Quote>(fra3x6Rate), 3, 6, fixingDays, calendar, ModifiedFollowing, true, depositDayCounter)); boost::shared_ptr<RateHelper> fra4x7(new FraRateHelper( Handle<Quote>(fra4x7Rate), 4, 7, fixingDays, calendar, ModifiedFollowing, true, depositDayCounter)); boost::shared_ptr<RateHelper> fra5x8(new FraRateHelper( Handle<Quote>(fra5x8Rate), 5, 8, fixingDays, calendar, ModifiedFollowing, true, depositDayCounter)); boost::shared_ptr<RateHelper> fra6x9(new FraRateHelper( Handle<Quote>(fra6x9Rate), 6, 9, fixingDays, calendar, ModifiedFollowing, true, depositDayCounter)); // FRAs Underlying Euribor6M boost::shared_ptr<RateHelper> Tod6M(new FraRateHelper( Handle<Quote>(Tod6MRate), 0, 6, fixingDays, calendar, ModifiedFollowing, true, depositDayCounter)); boost::shared_ptr<RateHelper> Tom6M(new FraRateHelper( Handle<Quote>(Tom6MRate), 0, 6, fixingDays, calendar, ModifiedFollowing, true, depositDayCounter)); boost::shared_ptr<RateHelper> fra1x7(new FraRateHelper( Handle<Quote>(fra1x7Rate), 1, 7, fixingDays, calendar, ModifiedFollowing, true, depositDayCounter)); boost::shared_ptr<RateHelper> fra2x8(new FraRateHelper( Handle<Quote>(fra2x8Rate), 2, 8, fixingDays, calendar, ModifiedFollowing, true, depositDayCounter)); boost::shared_ptr<RateHelper> fra3x9(new FraRateHelper( Handle<Quote>(fra3x9Rate), 3, 9, fixingDays, calendar, ModifiedFollowing, true, depositDayCounter)); boost::shared_ptr<RateHelper> fra4x10(new FraRateHelper( Handle<Quote>(fra4x10Rate), 4, 10, fixingDays, calendar, ModifiedFollowing, true, depositDayCounter)); boost::shared_ptr<RateHelper> fra5x11(new FraRateHelper( Handle<Quote>(fra5x11Rate), 5, 11, fixingDays, calendar, ModifiedFollowing, true, depositDayCounter)); boost::shared_ptr<RateHelper> fra6x12(new FraRateHelper( Handle<Quote>(fra6x12Rate), 6, 12, fixingDays, calendar, ModifiedFollowing, true, depositDayCounter)); boost::shared_ptr<RateHelper> fra12x18(new FraRateHelper( Handle<Quote>(fra12x18Rate), 12, 18, fixingDays, calendar, ModifiedFollowing, true, depositDayCounter)); boost::shared_ptr<RateHelper> fra18x24(new FraRateHelper( Handle<Quote>(fra18x24Rate), 18, 24, fixingDays, calendar, ModifiedFollowing, true, depositDayCounter)); // FRAs Underlying Euribor12M boost::shared_ptr<RateHelper> fra12x24(new FraRateHelper( Handle<Quote>(fra12x24Rate), 12, 24, fixingDays, calendar, ModifiedFollowing, true, depositDayCounter)); // FRAs Underlying Euribor6M(IMM) // setup FRAs // Rate convexityAdjustment = 0.0; ???? Integer FRAMonths = 6; Date imm1 = IMM::nextDate(settlementDate); boost::shared_ptr<RateHelper> IMMfra1x7(new FuturesRateHelper( Handle<Quote>(IMMfra1x7Price), imm1, FRAMonths, calendar, ModifiedFollowing, true, depositDayCounter)); imm1 = IMM::nextDate(imm1+1); boost::shared_ptr<RateHelper> IMMfra2x8(new FuturesRateHelper( Handle<Quote>(IMMfra2x8Price), imm1, FRAMonths, calendar, ModifiedFollowing, true, depositDayCounter)); imm1 = IMM::nextDate(imm1+1); boost::shared_ptr<RateHelper> IMMfra3x9(new FuturesRateHelper( Handle<Quote>(IMMfra3x9Price), imm1, FRAMonths, calendar, ModifiedFollowing, true, depositDayCounter)); imm1 = IMM::nextDate(imm1+1); boost::shared_ptr<RateHelper> IMMfra4x10(new FuturesRateHelper( Handle<Quote>(IMMfra4x10Price), imm1, FRAMonths, calendar, ModifiedFollowing, true, depositDayCounter)); // setup futures // Rate convexityAdjustment = 0.0; ???? Integer futMonths = 3; Date imm = IMM::nextDate(settlementDate); boost::shared_ptr<RateHelper> fut1(new FuturesRateHelper( Handle<Quote>(fut1Price), imm, futMonths, calendar, ModifiedFollowing, true, depositDayCounter)); imm = IMM::nextDate(imm+1); boost::shared_ptr<RateHelper> fut2(new FuturesRateHelper( Handle<Quote>(fut2Price), imm, futMonths, calendar, ModifiedFollowing, true, depositDayCounter)); imm = IMM::nextDate(imm+1); boost::shared_ptr<RateHelper> fut3(new FuturesRateHelper( Handle<Quote>(fut3Price), imm, futMonths, calendar, ModifiedFollowing, true, depositDayCounter)); imm = IMM::nextDate(imm+1); boost::shared_ptr<RateHelper> fut4(new FuturesRateHelper( Handle<Quote>(fut4Price), imm, futMonths, calendar, ModifiedFollowing, true, depositDayCounter)); imm = IMM::nextDate(imm+1); boost::shared_ptr<RateHelper> fut5(new FuturesRateHelper( Handle<Quote>(fut5Price), imm, futMonths, calendar, ModifiedFollowing, true, depositDayCounter)); imm = IMM::nextDate(imm+1); boost::shared_ptr<RateHelper> fut6(new FuturesRateHelper( Handle<Quote>(fut6Price), imm, futMonths, calendar, ModifiedFollowing, true, depositDayCounter)); imm = IMM::nextDate(imm+1); boost::shared_ptr<RateHelper> fut7(new FuturesRateHelper( Handle<Quote>(fut7Price), imm, futMonths, calendar, ModifiedFollowing, true, depositDayCounter)); imm = IMM::nextDate(imm+1); boost::shared_ptr<RateHelper> fut8(new FuturesRateHelper( Handle<Quote>(fut8Price), imm, futMonths, calendar, ModifiedFollowing, true, depositDayCounter)); imm = IMM::nextDate(imm+1); boost::shared_ptr<RateHelper> fut9(new FuturesRateHelper( Handle<Quote>(fut9Price), imm, futMonths, calendar, ModifiedFollowing, true, depositDayCounter)); imm = IMM::nextDate(imm+1); boost::shared_ptr<RateHelper> fut10(new FuturesRateHelper( Handle<Quote>(fut10Price), imm, futMonths, calendar, ModifiedFollowing, true, depositDayCounter)); imm = IMM::nextDate(imm+1); boost::shared_ptr<RateHelper> fut11(new FuturesRateHelper( Handle<Quote>(fut11Price), imm, futMonths, calendar, ModifiedFollowing, true, depositDayCounter)); imm = IMM::nextDate(imm+1); boost::shared_ptr<RateHelper> fut12(new FuturesRateHelper( Handle<Quote>(fut12Price), imm, futMonths, calendar, ModifiedFollowing, true, depositDayCounter)); imm = IMM::nextDate(imm+1); boost::shared_ptr<RateHelper> fut13(new FuturesRateHelper( Handle<Quote>(fut13Price), imm, futMonths, calendar, ModifiedFollowing, true, depositDayCounter)); // setup swaps Euribor6M Frequency swFixedLegFrequency6 = Annual; BusinessDayConvention swFixedLegConvention6 = Unadjusted; DayCounter swFixedLegDayCounter6 = Thirty360(Thirty360::European); boost::shared_ptr<IborIndex> swFloatingLegIndex6(new Euribor6M); boost::shared_ptr<RateHelper> s1y(new SwapRateHelper( Handle<Quote>(s1yRate), 1*Years, calendar, swFixedLegFrequency6, swFixedLegConvention6, swFixedLegDayCounter6, swFloatingLegIndex6)); boost::shared_ptr<RateHelper> s15M(new SwapRateHelper( Handle<Quote>(s15MRate), 15*Months, calendar, swFixedLegFrequency6, swFixedLegConvention6, swFixedLegDayCounter6, swFloatingLegIndex6)); boost::shared_ptr<RateHelper> s18M(new SwapRateHelper( Handle<Quote>(s18MRate), 18*Months, calendar, swFixedLegFrequency6, swFixedLegConvention6, swFixedLegDayCounter6, swFloatingLegIndex6)); boost::shared_ptr<RateHelper> s21M(new SwapRateHelper( Handle<Quote>(s21MRate), 21*Months, calendar, swFixedLegFrequency6, swFixedLegConvention6, swFixedLegDayCounter6, swFloatingLegIndex6)); boost::shared_ptr<RateHelper> s2y(new SwapRateHelper( Handle<Quote>(s2yRate), 2*Years, calendar, swFixedLegFrequency6, swFixedLegConvention6, swFixedLegDayCounter6, swFloatingLegIndex6)); boost::shared_ptr<RateHelper> s3y(new SwapRateHelper( Handle<Quote>(s3yRate), 3*Years, calendar, swFixedLegFrequency6, swFixedLegConvention6, swFixedLegDayCounter6, swFloatingLegIndex6)); boost::shared_ptr<RateHelper> s4y(new SwapRateHelper( Handle<Quote>(s4yRate), 4*Years, calendar, swFixedLegFrequency6, swFixedLegConvention6, swFixedLegDayCounter6, swFloatingLegIndex6)); boost::shared_ptr<RateHelper> s5y(new SwapRateHelper( Handle<Quote>(s5yRate), 5*Years, calendar, swFixedLegFrequency6, swFixedLegConvention6, swFixedLegDayCounter6, swFloatingLegIndex6)); boost::shared_ptr<RateHelper> s6y(new SwapRateHelper( Handle<Quote>(s6yRate), 6*Years, calendar, swFixedLegFrequency6, swFixedLegConvention6, swFixedLegDayCounter6, swFloatingLegIndex6)); boost::shared_ptr<RateHelper> s7y(new SwapRateHelper( Handle<Quote>(s7yRate), 7*Years, calendar, swFixedLegFrequency6, swFixedLegConvention6, swFixedLegDayCounter6, swFloatingLegIndex6)); boost::shared_ptr<RateHelper> s8y(new SwapRateHelper( Handle<Quote>(s8yRate), 8*Years, calendar, swFixedLegFrequency6, swFixedLegConvention6, swFixedLegDayCounter6, swFloatingLegIndex6)); boost::shared_ptr<RateHelper> s9y(new SwapRateHelper( Handle<Quote>(s9yRate), 9*Years, calendar, swFixedLegFrequency6, swFixedLegConvention6, swFixedLegDayCounter6, swFloatingLegIndex6)); boost::shared_ptr<RateHelper> s10y(new SwapRateHelper( Handle<Quote>(s10yRate), 10*Years, calendar, swFixedLegFrequency6, swFixedLegConvention6, swFixedLegDayCounter6, swFloatingLegIndex6)); boost::shared_ptr<RateHelper> s11y(new SwapRateHelper( Handle<Quote>(s11yRate), 11*Years, calendar, swFixedLegFrequency6, swFixedLegConvention6, swFixedLegDayCounter6, swFloatingLegIndex6)); boost::shared_ptr<RateHelper> s12y(new SwapRateHelper( Handle<Quote>(s12yRate), 12*Years, calendar, swFixedLegFrequency6, swFixedLegConvention6, swFixedLegDayCounter6, swFloatingLegIndex6)); boost::shared_ptr<RateHelper> s13y(new SwapRateHelper( Handle<Quote>(s13yRate), 13*Years, calendar, swFixedLegFrequency6, swFixedLegConvention6, swFixedLegDayCounter6, swFloatingLegIndex6)); boost::shared_ptr<RateHelper> s14y(new SwapRateHelper( Handle<Quote>(s14yRate), 14*Years, calendar, swFixedLegFrequency6, swFixedLegConvention6, swFixedLegDayCounter6, swFloatingLegIndex6)); boost::shared_ptr<RateHelper> s15y(new SwapRateHelper( Handle<Quote>(s15yRate), 15*Years, calendar, swFixedLegFrequency6, swFixedLegConvention6, swFixedLegDayCounter6, swFloatingLegIndex6)); boost::shared_ptr<RateHelper> s16y(new SwapRateHelper( Handle<Quote>(s16yRate), 16*Years, calendar, swFixedLegFrequency6, swFixedLegConvention6, swFixedLegDayCounter6, swFloatingLegIndex6)); boost::shared_ptr<RateHelper> s17y(new SwapRateHelper( Handle<Quote>(s17yRate), 17*Years, calendar, swFixedLegFrequency6, swFixedLegConvention6, swFixedLegDayCounter6, swFloatingLegIndex6)); boost::shared_ptr<RateHelper> s18y(new SwapRateHelper( Handle<Quote>(s18yRate), 18*Years, calendar, swFixedLegFrequency6, swFixedLegConvention6, swFixedLegDayCounter6, swFloatingLegIndex6)); boost::shared_ptr<RateHelper> s19y(new SwapRateHelper( Handle<Quote>(s19yRate), 19*Years, calendar, swFixedLegFrequency6, swFixedLegConvention6, swFixedLegDayCounter6, swFloatingLegIndex6)); boost::shared_ptr<RateHelper> s20y(new SwapRateHelper( Handle<Quote>(s20yRate), 20*Years, calendar, swFixedLegFrequency6, swFixedLegConvention6, swFixedLegDayCounter6, swFloatingLegIndex6)); boost::shared_ptr<RateHelper> s21y(new SwapRateHelper( Handle<Quote>(s21yRate), 21*Years, calendar, swFixedLegFrequency6, swFixedLegConvention6, swFixedLegDayCounter6, swFloatingLegIndex6)); boost::shared_ptr<RateHelper> s22y(new SwapRateHelper( Handle<Quote>(s22yRate), 22*Years, calendar, swFixedLegFrequency6, swFixedLegConvention6, swFixedLegDayCounter6, swFloatingLegIndex6)); boost::shared_ptr<RateHelper> s23y(new SwapRateHelper( Handle<Quote>(s23yRate), 23*Years, calendar, swFixedLegFrequency6, swFixedLegConvention6, swFixedLegDayCounter6, swFloatingLegIndex6)); boost::shared_ptr<RateHelper> s24y(new SwapRateHelper( Handle<Quote>(s24yRate), 24*Years, calendar, swFixedLegFrequency6, swFixedLegConvention6, swFixedLegDayCounter6, swFloatingLegIndex6)); boost::shared_ptr<RateHelper> s25y(new SwapRateHelper( Handle<Quote>(s25yRate), 25*Years, calendar, swFixedLegFrequency6, swFixedLegConvention6, swFixedLegDayCounter6, swFloatingLegIndex6)); boost::shared_ptr<RateHelper> s26y(new SwapRateHelper( Handle<Quote>(s26yRate), 26*Years, calendar, swFixedLegFrequency6, swFixedLegConvention6, swFixedLegDayCounter6, swFloatingLegIndex6)); boost::shared_ptr<RateHelper> s27y(new SwapRateHelper( Handle<Quote>(s27yRate), 27*Years, calendar, swFixedLegFrequency6, swFixedLegConvention6, swFixedLegDayCounter6, swFloatingLegIndex6)); boost::shared_ptr<RateHelper> s28y(new SwapRateHelper( Handle<Quote>(s28yRate), 28*Years, calendar, swFixedLegFrequency6, swFixedLegConvention6, swFixedLegDayCounter6, swFloatingLegIndex6)); boost::shared_ptr<RateHelper> s29y(new SwapRateHelper( Handle<Quote>(s29yRate), 29*Years, calendar, swFixedLegFrequency6, swFixedLegConvention6, swFixedLegDayCounter6, swFloatingLegIndex6)); boost::shared_ptr<RateHelper> s30y(new SwapRateHelper( Handle<Quote>(s30yRate), 30*Years, calendar, swFixedLegFrequency6, swFixedLegConvention6, swFixedLegDayCounter6, swFloatingLegIndex6)); boost::shared_ptr<RateHelper> s35y(new SwapRateHelper( Handle<Quote>(s35yRate), 35*Years, calendar, swFixedLegFrequency6, swFixedLegConvention6, swFixedLegDayCounter6, swFloatingLegIndex6)); boost::shared_ptr<RateHelper> s40y(new SwapRateHelper( Handle<Quote>(s40yRate), 40*Years, calendar, swFixedLegFrequency6, swFixedLegConvention6, swFixedLegDayCounter6, swFloatingLegIndex6)); boost::shared_ptr<RateHelper> s50y(new SwapRateHelper( Handle<Quote>(s50yRate), 50*Years, calendar, swFixedLegFrequency6, swFixedLegConvention6, swFixedLegDayCounter6, swFloatingLegIndex6)); boost::shared_ptr<RateHelper> s60y(new SwapRateHelper( Handle<Quote>(s60yRate), 60*Years, calendar, swFixedLegFrequency6, swFixedLegConvention6, swFixedLegDayCounter6, swFloatingLegIndex6)); // setup swaps Euribor3M Frequency swFixedLegFrequency3 = Annual; BusinessDayConvention swFixedLegConvention3 = Unadjusted; DayCounter swFixedLegDayCounter3 = Thirty360(Thirty360::European); boost::shared_ptr<IborIndex> swFloatingLegIndex3(new Euribor3M); boost::shared_ptr<RateHelper> s1s1y(new SwapRateHelper( Handle<Quote>(s1s1yRate), 1*Years, calendar, swFixedLegFrequency3, swFixedLegConvention3, swFixedLegDayCounter3, swFloatingLegIndex3)); boost::shared_ptr<RateHelper> s2s1y(new SwapRateHelper( Handle<Quote>(s2s1yRate), 1*Years, calendar, swFixedLegFrequency3, swFixedLegConvention3, swFixedLegDayCounter3, swFloatingLegIndex3)); boost::shared_ptr<RateHelper> s3s1y(new SwapRateHelper( Handle<Quote>(s3s1yRate), 1*Years, calendar, swFixedLegFrequency3, swFixedLegConvention3, swFixedLegDayCounter3, swFloatingLegIndex3)); boost::shared_ptr<RateHelper> s4s1y(new SwapRateHelper( Handle<Quote>(s4s1yRate), 1*Years, calendar, swFixedLegFrequency3, swFixedLegConvention3, swFixedLegDayCounter3, swFloatingLegIndex3)); boost::shared_ptr<RateHelper> s1s2y(new SwapRateHelper( Handle<Quote>(s1s2yRate), 2*Years, calendar, swFixedLegFrequency3, swFixedLegConvention3, swFixedLegDayCounter3, swFloatingLegIndex3)); boost::shared_ptr<RateHelper> s2s2y(new SwapRateHelper( Handle<Quote>(s2s2yRate), 2*Years, calendar, swFixedLegFrequency3, swFixedLegConvention3, swFixedLegDayCounter3, swFloatingLegIndex3)); boost::shared_ptr<RateHelper> s1s3y(new SwapRateHelper( Handle<Quote>(s1s3yRate), 3*Years, calendar, swFixedLegFrequency3, swFixedLegConvention3, swFixedLegDayCounter3, swFloatingLegIndex3)); // setup swaps Euribor1M Frequency swFixedLegFrequency1 = Annual; BusinessDayConvention swFixedLegConvention1 = Unadjusted; DayCounter swFixedLegDayCounter1 = Thirty360(Thirty360::European); boost::shared_ptr<IborIndex> swFloatingLegIndex1(new Euribor1M); boost::shared_ptr<RateHelper> s2x1s(new SwapRateHelper( Handle<Quote>(s2x1sRate), 1*Months, calendar, swFixedLegFrequency1, swFixedLegConvention1, swFixedLegDayCounter1, swFloatingLegIndex1)); boost::shared_ptr<RateHelper> s3x1s(new SwapRateHelper( Handle<Quote>(s3x1sRate), 3*Months, calendar, swFixedLegFrequency1, swFixedLegConvention1, swFixedLegDayCounter1, swFloatingLegIndex1)); boost::shared_ptr<RateHelper> s4x1s(new SwapRateHelper( Handle<Quote>(s4x1sRate), 4*Months, calendar, swFixedLegFrequency1, swFixedLegConvention1, swFixedLegDayCounter1, swFloatingLegIndex1)); boost::shared_ptr<RateHelper> s5x1s(new SwapRateHelper( Handle<Quote>(s5x1sRate), 5*Months, calendar, swFixedLegFrequency1, swFixedLegConvention1, swFixedLegDayCounter1, swFloatingLegIndex1)); boost::shared_ptr<RateHelper> s6x1s(new SwapRateHelper( Handle<Quote>(s6x1sRate), 6*Months, calendar, swFixedLegFrequency1, swFixedLegConvention1, swFixedLegDayCounter1, swFloatingLegIndex1)); boost::shared_ptr<RateHelper> s7x1s(new SwapRateHelper( Handle<Quote>(s7x1sRate), 7*Months, calendar, swFixedLegFrequency1, swFixedLegConvention1, swFixedLegDayCounter1, swFloatingLegIndex1)); boost::shared_ptr<RateHelper> s8x1s(new SwapRateHelper( Handle<Quote>(s8x1sRate), 8*Months, calendar, swFixedLegFrequency1, swFixedLegConvention1, swFixedLegDayCounter1, swFloatingLegIndex1)); boost::shared_ptr<RateHelper> s9x1s(new SwapRateHelper( Handle<Quote>(s9x1sRate), 9*Months, calendar, swFixedLegFrequency1, swFixedLegConvention1, swFixedLegDayCounter1, swFloatingLegIndex1)); boost::shared_ptr<RateHelper> s10x1s(new SwapRateHelper( Handle<Quote>(s10x1sRate), 10*Months, calendar, swFixedLegFrequency1, swFixedLegConvention1, swFixedLegDayCounter1, swFloatingLegIndex1)); boost::shared_ptr<RateHelper> s11x1s(new SwapRateHelper( Handle<Quote>(s11x1sRate), 11*Months, calendar, swFixedLegFrequency1, swFixedLegConvention1, swFixedLegDayCounter1, swFloatingLegIndex1)); boost::shared_ptr<RateHelper> s12x1s(new SwapRateHelper( Handle<Quote>(s2x1sRate), 12*Months, calendar, swFixedLegFrequency1, swFixedLegConvention1, swFixedLegDayCounter1, swFloatingLegIndex1)); /********************* ** CURVE BUILDING ** *********************/ // Any DayCounter would be fine. // ActualActual::ISDA ensures that 30 years is 30.0 DayCounter termStructureDayCounter = ActualActual(ActualActual::ISDA); double tolerance = 1.0e-15; // A depo-swap (on Euribor6M) curve /* std::vector<boost::shared_ptr<RateHelper> > depoSwapInstruments; depoSwapInstruments.push_back(dOND); depoSwapInstruments.push_back(dTND); depoSwapInstruments.push_back(dSND); depoSwapInstruments.push_back(d1w); depoSwapInstruments.push_back(d2w); depoSwapInstruments.push_back(d3w); depoSwapInstruments.push_back(d1m); depoSwapInstruments.push_back(d2m); depoSwapInstruments.push_back(d3m); depoSwapInstruments.push_back(d4m); depoSwapInstruments.push_back(d5m); depoSwapInstruments.push_back(d6m); depoSwapInstruments.push_back(d7m); depoSwapInstruments.push_back(d8m); depoSwapInstruments.push_back(d9m); depoSwapInstruments.push_back(d10m); depoSwapInstruments.push_back(d11m); depoSwapInstruments.push_back(d12m); depoSwapInstruments.push_back(s1y); depoSwapInstruments.push_back(s15M); depoSwapInstruments.push_back(s18M); depoSwapInstruments.push_back(s21M); depoSwapInstruments.push_back(s2y); depoSwapInstruments.push_back(s3y); depoSwapInstruments.push_back(s4y); depoSwapInstruments.push_back(s5y); depoSwapInstruments.push_back(s6y); depoSwapInstruments.push_back(s7y); depoSwapInstruments.push_back(s8y); depoSwapInstruments.push_back(s9y); depoSwapInstruments.push_back(s10y); depoSwapInstruments.push_back(s11y); depoSwapInstruments.push_back(s12y); depoSwapInstruments.push_back(s13y); depoSwapInstruments.push_back(s14y); depoSwapInstruments.push_back(s15y); depoSwapInstruments.push_back(s16y); depoSwapInstruments.push_back(s17y); depoSwapInstruments.push_back(s18y); depoSwapInstruments.push_back(s19y); depoSwapInstruments.push_back(s20y); depoSwapInstruments.push_back(s21y); depoSwapInstruments.push_back(s22y); depoSwapInstruments.push_back(s23y); depoSwapInstruments.push_back(s24y); depoSwapInstruments.push_back(s25y); depoSwapInstruments.push_back(s26y); depoSwapInstruments.push_back(s27y); depoSwapInstruments.push_back(s28y); depoSwapInstruments.push_back(s29y); depoSwapInstruments.push_back(s30y); depoSwapInstruments.push_back(s35y); depoSwapInstruments.push_back(s40y); depoSwapInstruments.push_back(s50y); depoSwapInstruments.push_back(s60y); boost::shared_ptr<YieldTermStructure> depoSwapTermStructure( new PiecewiseYieldCurve<Discount,LogLinear>( settlementDate, depoSwapInstruments, termStructureDayCounter, tolerance));*/ // A depo-swap (on Euribor3M) curve std::vector<boost::shared_ptr<RateHelper> > depoSwapInstruments; depoSwapInstruments.push_back(dOND); depoSwapInstruments.push_back(dTND); depoSwapInstruments.push_back(dSND); depoSwapInstruments.push_back(d1w); depoSwapInstruments.push_back(d2w); depoSwapInstruments.push_back(d3w); depoSwapInstruments.push_back(d1m); depoSwapInstruments.push_back(d2m); depoSwapInstruments.push_back(d3m); depoSwapInstruments.push_back(d4m); depoSwapInstruments.push_back(d5m); depoSwapInstruments.push_back(d6m); depoSwapInstruments.push_back(d7m); depoSwapInstruments.push_back(d8m); depoSwapInstruments.push_back(d9m); depoSwapInstruments.push_back(d10m); depoSwapInstruments.push_back(d11m); depoSwapInstruments.push_back(d12m); depoSwapInstruments.push_back(s1s1y); depoSwapInstruments.push_back(s2s1y); depoSwapInstruments.push_back(s3s1y); depoSwapInstruments.push_back(s4s1y); depoSwapInstruments.push_back(s1s2y); depoSwapInstruments.push_back(s2s2y); depoSwapInstruments.push_back(s1s3y); boost::shared_ptr<YieldTermStructure> depoSwapTermStructure( new PiecewiseYieldCurve<Discount,LogLinear>( settlementDate, depoSwapInstruments, termStructureDayCounter, tolerance)); // A depo-swap (on Euribor1M) curve /* std::vector<boost::shared_ptr<RateHelper> > depoSwapInstruments; depoSwapInstruments.push_back(dOND); depoSwapInstruments.push_back(dTND); depoSwapInstruments.push_back(dSND); depoSwapInstruments.push_back(d1w); depoSwapInstruments.push_back(d2w); depoSwapInstruments.push_back(d3w); depoSwapInstruments.push_back(d1m); depoSwapInstruments.push_back(d2m); depoSwapInstruments.push_back(d3m); depoSwapInstruments.push_back(d4m); depoSwapInstruments.push_back(d5m); depoSwapInstruments.push_back(d6m); depoSwapInstruments.push_back(d7m); depoSwapInstruments.push_back(d8m); depoSwapInstruments.push_back(d9m); depoSwapInstruments.push_back(d10m); depoSwapInstruments.push_back(d11m); depoSwapInstruments.push_back(d12m); depoSwapInstruments.push_back(s2x1s); depoSwapInstruments.push_back(s3x1s); depoSwapInstruments.push_back(s4x1s); depoSwapInstruments.push_back(s5x1s); depoSwapInstruments.push_back(s6x1s); depoSwapInstruments.push_back(s7x1s); depoSwapInstruments.push_back(s8x1s); depoSwapInstruments.push_back(s9x1s); depoSwapInstruments.push_back(s10x1s); depoSwapInstruments.push_back(s11x1s); depoSwapInstruments.push_back(s12x1s); boost::shared_ptr<YieldTermStructure> depoSwapTermStructure( new PiecewiseYieldCurve<Discount,LogLinear>( settlementDate, depoSwapInstruments, termStructureDayCounter, tolerance));*/ // A depo-futures-swap (on Euribor6M) curve /* std::vector<boost::shared_ptr<RateHelper> > depoFutSwapInstruments; depoFutSwapInstruments.push_back(dOND); depoFutSwapInstruments.push_back(dTND); depoFutSwapInstruments.push_back(dSND); depoFutSwapInstruments.push_back(d1w); depoFutSwapInstruments.push_back(d2w); depoFutSwapInstruments.push_back(d3w); depoFutSwapInstruments.push_back(d1m); depoFutSwapInstruments.push_back(d2m); depoFutSwapInstruments.push_back(d3m); depoFutSwapInstruments.push_back(d4m); depoFutSwapInstruments.push_back(d5m); depoFutSwapInstruments.push_back(d6m); depoFutSwapInstruments.push_back(d7m); depoFutSwapInstruments.push_back(d8m); depoFutSwapInstruments.push_back(d9m); depoFutSwapInstruments.push_back(d10m); depoFutSwapInstruments.push_back(d11m); depoFutSwapInstruments.push_back(d12m); depoFutSwapInstruments.push_back(fut1); depoFutSwapInstruments.push_back(fut2); depoFutSwapInstruments.push_back(fut3); depoFutSwapInstruments.push_back(fut4); depoFutSwapInstruments.push_back(fut5); depoFutSwapInstruments.push_back(fut6); depoFutSwapInstruments.push_back(fut7); depoFutSwapInstruments.push_back(fut8); depoFutSwapInstruments.push_back(fut9); depoFutSwapInstruments.push_back(fut10); depoFutSwapInstruments.push_back(fut11); depoFutSwapInstruments.push_back(fut12); depoFutSwapInstruments.push_back(fut13); depoFutSwapInstruments.push_back(s1y); depoFutSwapInstruments.push_back(s15M); depoFutSwapInstruments.push_back(s18M); depoFutSwapInstruments.push_back(s21M); depoFutSwapInstruments.push_back(s2y); depoFutSwapInstruments.push_back(s3y); depoFutSwapInstruments.push_back(s4y); depoFutSwapInstruments.push_back(s5y); depoFutSwapInstruments.push_back(s6y); depoFutSwapInstruments.push_back(s7y); depoFutSwapInstruments.push_back(s8y); depoFutSwapInstruments.push_back(s9y); depoFutSwapInstruments.push_back(s10y); depoFutSwapInstruments.push_back(s11y); depoFutSwapInstruments.push_back(s12y); depoFutSwapInstruments.push_back(s13y); depoFutSwapInstruments.push_back(s14y); depoFutSwapInstruments.push_back(s15y); depoFutSwapInstruments.push_back(s16y); depoFutSwapInstruments.push_back(s17y); depoFutSwapInstruments.push_back(s18y); depoFutSwapInstruments.push_back(s19y); depoFutSwapInstruments.push_back(s20y); depoFutSwapInstruments.push_back(s21y); depoFutSwapInstruments.push_back(s22y); depoFutSwapInstruments.push_back(s23y); depoFutSwapInstruments.push_back(s24y); depoFutSwapInstruments.push_back(s25y); depoFutSwapInstruments.push_back(s26y); depoFutSwapInstruments.push_back(s27y); depoFutSwapInstruments.push_back(s28y); depoFutSwapInstruments.push_back(s29y); depoFutSwapInstruments.push_back(s30y); depoFutSwapInstruments.push_back(s35y); depoFutSwapInstruments.push_back(s40y); depoFutSwapInstruments.push_back(s50y); depoFutSwapInstruments.push_back(s60y); boost::shared_ptr<YieldTermStructure> depoFutSwapTermStructure( new PiecewiseYieldCurve<Discount,LogLinear>( settlementDate, depoFutSwapInstruments, termStructureDayCounter, tolerance));*/ // A depo-futures-swap (on Euribor3M) curve /* std::vector<boost::shared_ptr<RateHelper> > depoFutSwapInstruments; depoFutSwapInstruments.push_back(dOND); depoFutSwapInstruments.push_back(dTND); depoFutSwapInstruments.push_back(dSND); depoFutSwapInstruments.push_back(d1w); depoFutSwapInstruments.push_back(d2w); depoFutSwapInstruments.push_back(d3w); depoFutSwapInstruments.push_back(d1m); depoFutSwapInstruments.push_back(d2m); depoFutSwapInstruments.push_back(d3m); depoFutSwapInstruments.push_back(d4m); depoFutSwapInstruments.push_back(d5m); depoFutSwapInstruments.push_back(d6m); depoFutSwapInstruments.push_back(d7m); depoFutSwapInstruments.push_back(d8m); depoFutSwapInstruments.push_back(d9m); depoFutSwapInstruments.push_back(d10m); depoFutSwapInstruments.push_back(d11m); depoFutSwapInstruments.push_back(d12m); depoFutSwapInstruments.push_back(fut1); depoFutSwapInstruments.push_back(fut2); depoFutSwapInstruments.push_back(fut3); depoFutSwapInstruments.push_back(fut4); depoFutSwapInstruments.push_back(fut5); depoFutSwapInstruments.push_back(fut6); depoFutSwapInstruments.push_back(fut7); depoFutSwapInstruments.push_back(fut8); depoFutSwapInstruments.push_back(fut9); depoFutSwapInstruments.push_back(fut10); depoFutSwapInstruments.push_back(fut11); depoFutSwapInstruments.push_back(fut12); depoFutSwapInstruments.push_back(fut13); depoFutSwapInstruments.push_back(s1s1y); depoFutSwapInstruments.push_back(s2s1y); depoFutSwapInstruments.push_back(s3s1y); depoFutSwapInstruments.push_back(s4s1y); depoFutSwapInstruments.push_back(s1s2y); depoFutSwapInstruments.push_back(s2s2y); depoFutSwapInstruments.push_back(s1s3y); boost::shared_ptr<YieldTermStructure> depoFutSwapTermStructure( new PiecewiseYieldCurve<Discount,LogLinear>( settlementDate, depoFutSwapInstruments, termStructureDayCounter, tolerance));*/ // A depo-futures-swap (on Euribor1M) curve std::vector<boost::shared_ptr<RateHelper> > depoFutSwapInstruments; depoFutSwapInstruments.push_back(dOND); depoFutSwapInstruments.push_back(dTND); depoFutSwapInstruments.push_back(dSND); depoFutSwapInstruments.push_back(d1w); depoFutSwapInstruments.push_back(d2w); depoFutSwapInstruments.push_back(d3w); depoFutSwapInstruments.push_back(d1m); depoFutSwapInstruments.push_back(d2m); depoFutSwapInstruments.push_back(d3m); depoFutSwapInstruments.push_back(d4m); depoFutSwapInstruments.push_back(d5m); depoFutSwapInstruments.push_back(d6m); depoFutSwapInstruments.push_back(d7m); depoFutSwapInstruments.push_back(d8m); depoFutSwapInstruments.push_back(d9m); depoFutSwapInstruments.push_back(d10m); depoFutSwapInstruments.push_back(d11m); depoFutSwapInstruments.push_back(d12m); depoFutSwapInstruments.push_back(fut1); depoFutSwapInstruments.push_back(fut2); depoFutSwapInstruments.push_back(fut3); depoFutSwapInstruments.push_back(fut4); depoFutSwapInstruments.push_back(fut5); depoFutSwapInstruments.push_back(fut6); depoFutSwapInstruments.push_back(fut7); depoFutSwapInstruments.push_back(fut8); depoFutSwapInstruments.push_back(fut9); depoFutSwapInstruments.push_back(fut10); depoFutSwapInstruments.push_back(fut11); depoFutSwapInstruments.push_back(fut12); depoFutSwapInstruments.push_back(fut13); depoFutSwapInstruments.push_back(s2x1s); depoFutSwapInstruments.push_back(s3x1s); depoFutSwapInstruments.push_back(s4x1s); depoFutSwapInstruments.push_back(s5x1s); depoFutSwapInstruments.push_back(s6x1s); depoFutSwapInstruments.push_back(s7x1s); depoFutSwapInstruments.push_back(s8x1s); depoFutSwapInstruments.push_back(s9x1s); depoFutSwapInstruments.push_back(s10x1s); depoFutSwapInstruments.push_back(s11x1s); depoFutSwapInstruments.push_back(s12x1s); boost::shared_ptr<YieldTermStructure> depoFutSwapTermStructure( new PiecewiseYieldCurve<Discount,LogLinear>( settlementDate, depoFutSwapInstruments, termStructureDayCounter, tolerance)); // A depo-FRA-swap (on Euribor6M) curve std::vector<boost::shared_ptr<RateHelper> > depoFRASwapInstruments; depoFRASwapInstruments.push_back(dOND); depoFRASwapInstruments.push_back(dTND); depoFRASwapInstruments.push_back(dSND); depoFRASwapInstruments.push_back(d1w); depoFRASwapInstruments.push_back(d2w); depoFRASwapInstruments.push_back(d3w); depoFRASwapInstruments.push_back(d1m); depoFRASwapInstruments.push_back(d2m); depoFRASwapInstruments.push_back(d3m); depoFRASwapInstruments.push_back(d4m); depoFRASwapInstruments.push_back(d5m); depoFRASwapInstruments.push_back(d6m); depoFRASwapInstruments.push_back(d7m); depoFRASwapInstruments.push_back(d8m); depoFRASwapInstruments.push_back(d9m); depoFRASwapInstruments.push_back(d10m); depoFRASwapInstruments.push_back(d11m); depoFRASwapInstruments.push_back(d12m); depoFRASwapInstruments.push_back(Tod6M); depoFRASwapInstruments.push_back(Tom6M); depoFRASwapInstruments.push_back(Tod3M); depoFRASwapInstruments.push_back(Tom3M); depoFRASwapInstruments.push_back(fra1x7); depoFRASwapInstruments.push_back(fra2x8); depoFRASwapInstruments.push_back(fra3x9); depoFRASwapInstruments.push_back(fra4x10); depoFRASwapInstruments.push_back(fra5x11); depoFRASwapInstruments.push_back(fra3x6); depoFRASwapInstruments.push_back(fra6x9); depoFRASwapInstruments.push_back(fra6x12); depoFRASwapInstruments.push_back(fra12x18); depoFRASwapInstruments.push_back(fra18x24); depoFRASwapInstruments.push_back(IMMfra1x7); depoFRASwapInstruments.push_back(IMMfra2x8); depoFRASwapInstruments.push_back(IMMfra3x9); depoFRASwapInstruments.push_back(IMMfra4x10); depoFRASwapInstruments.push_back(s1y); depoFRASwapInstruments.push_back(s15M); depoFRASwapInstruments.push_back(s18M); depoFRASwapInstruments.push_back(s21M); depoFRASwapInstruments.push_back(s2y); depoFRASwapInstruments.push_back(s3y); depoFRASwapInstruments.push_back(s4y); depoFRASwapInstruments.push_back(s5y); depoFRASwapInstruments.push_back(s6y); depoFRASwapInstruments.push_back(s7y); depoFRASwapInstruments.push_back(s8y); depoFRASwapInstruments.push_back(s9y); depoFRASwapInstruments.push_back(s10y); depoFRASwapInstruments.push_back(s11y); depoFRASwapInstruments.push_back(s12y); depoFRASwapInstruments.push_back(s13y); depoFRASwapInstruments.push_back(s14y); depoFRASwapInstruments.push_back(s15y); depoFRASwapInstruments.push_back(s16y); depoFRASwapInstruments.push_back(s17y); depoFRASwapInstruments.push_back(s18y); depoFRASwapInstruments.push_back(s19y); depoFRASwapInstruments.push_back(s20y); depoFRASwapInstruments.push_back(s21y); depoFRASwapInstruments.push_back(s22y); depoFRASwapInstruments.push_back(s23y); depoFRASwapInstruments.push_back(s24y); depoFRASwapInstruments.push_back(s25y); depoFRASwapInstruments.push_back(s26y); depoFRASwapInstruments.push_back(s27y); depoFRASwapInstruments.push_back(s28y); depoFRASwapInstruments.push_back(s29y); depoFRASwapInstruments.push_back(s30y); depoFRASwapInstruments.push_back(s35y); depoFRASwapInstruments.push_back(s40y); depoFRASwapInstruments.push_back(s50y); depoFRASwapInstruments.push_back(s60y); boost::shared_ptr<YieldTermStructure> depoFRASwapTermStructure( new PiecewiseYieldCurve<Discount,LogLinear>( settlementDate, depoFRASwapInstruments, termStructureDayCounter, tolerance)); // A depo-FRA-swap (on Euribor3M) curve /* std::vector<boost::shared_ptr<RateHelper> > depoFRASwapInstruments; depoFRASwapInstruments.push_back(dOND); depoFRASwapInstruments.push_back(dTND); depoFRASwapInstruments.push_back(dSND); depoFRASwapInstruments.push_back(d1w); depoFRASwapInstruments.push_back(d2w); depoFRASwapInstruments.push_back(d3w); depoFRASwapInstruments.push_back(d1m); depoFRASwapInstruments.push_back(d2m); depoFRASwapInstruments.push_back(d3m); depoFRASwapInstruments.push_back(d4m); depoFRASwapInstruments.push_back(d5m); depoFRASwapInstruments.push_back(d6m); depoFRASwapInstruments.push_back(d7m); depoFRASwapInstruments.push_back(d8m); depoFRASwapInstruments.push_back(d9m); depoFRASwapInstruments.push_back(d10m); depoFRASwapInstruments.push_back(d11m); depoFRASwapInstruments.push_back(d12m); depoFRASwapInstruments.push_back(Tod3M); depoFRASwapInstruments.push_back(Tom3M); depoFRASwapInstruments.push_back(fra1x4); depoFRASwapInstruments.push_back(fra2x5); depoFRASwapInstruments.push_back(fra3x6); depoFRASwapInstruments.push_back(fra4x7); depoFRASwapInstruments.push_back(fra5x8); depoFRASwapInstruments.push_back(fra6x9); depoFRASwapInstruments.push_back(s1s1y); depoFRASwapInstruments.push_back(s2s1y); depoFRASwapInstruments.push_back(s3s1y); depoFRASwapInstruments.push_back(s4s1y); depoFRASwapInstruments.push_back(s1s2y); depoFRASwapInstruments.push_back(s2s2y); depoFRASwapInstruments.push_back(s1s3y); boost::shared_ptr<YieldTermStructure> depoFRASwapTermStructure( new PiecewiseYieldCurve<Discount,LogLinear>( settlementDate, depoFRASwapInstruments, termStructureDayCounter, tolerance));*/ // Term structures that will be used for pricing: // the one used for discounting cash flows RelinkableHandle<YieldTermStructure> discountingTermStructure; // the one used for forward rate forecasting RelinkableHandle<YieldTermStructure> forecastingTermStructure; /********************* * SWAPS TO BE PRICED * **********************/ // constant nominal 1,000,000 Euro Real nominal = 1000000.0; // fixed leg Frequency fixedLegFrequency = Annual; BusinessDayConvention fixedLegConvention = Unadjusted; BusinessDayConvention floatingLegConvention = ModifiedFollowing; DayCounter fixedLegDayCounter = Thirty360(Thirty360::European); Rate fixedRate = 0.04; DayCounter floatingLegDayCounter = Actual360(); // floating leg Frequency floatingLegFrequency = Semiannual; boost::shared_ptr<IborIndex> euriborIndex( new Euribor6M(forecastingTermStructure)); Spread spread = 0.0; Integer lenghtInYears = 5; VanillaSwap::Type swapType = VanillaSwap::Payer; Date maturity = settlementDate + lenghtInYears*Years; Schedule fixedSchedule(settlementDate, maturity, Period(fixedLegFrequency), calendar, fixedLegConvention, fixedLegConvention, DateGeneration::Forward, false); Schedule floatSchedule(settlementDate, maturity, Period(floatingLegFrequency), calendar, floatingLegConvention, floatingLegConvention, DateGeneration::Forward, false); VanillaSwap spot5YearSwap(swapType, nominal, fixedSchedule, fixedRate, fixedLegDayCounter, floatSchedule, euriborIndex, spread, floatingLegDayCounter); Date fwdStart = calendar.advance(settlementDate, 1, Years); Date fwdMaturity = fwdStart + lenghtInYears*Years; Schedule fwdFixedSchedule(fwdStart, fwdMaturity, Period(fixedLegFrequency), calendar, fixedLegConvention, fixedLegConvention, DateGeneration::Forward, false); Schedule fwdFloatSchedule(fwdStart, fwdMaturity, Period(floatingLegFrequency), calendar, floatingLegConvention, floatingLegConvention, DateGeneration::Forward, false); VanillaSwap oneYearForward5YearSwap(swapType, nominal, fwdFixedSchedule, fixedRate, fixedLegDayCounter, fwdFloatSchedule, euriborIndex, spread, floatingLegDayCounter); /*************** * SWAP PRICING * ****************/ // utilities for reporting std::vector<std::string> headers(4); headers[0] = "term structure"; headers[1] = "net present value"; headers[2] = "fair spread"; headers[3] = "fair fixed rate"; std::string separator = " | "; Size width = headers[0].size() + separator.size() + headers[1].size() + separator.size() + headers[2].size() + separator.size() + headers[3].size() + separator.size() - 1; std::string rule(width, '-'), dblrule(width, '='); std::string tab(8, ' '); // calculations std::cout << dblrule << std::endl; std::cout << "5-year market swap-rate = " << std::setprecision(2) << io::rate(s5yRate->value()) << std::endl; std::cout << dblrule << std::endl; std::cout << tab << "5-years swap paying " << io::rate(fixedRate) << std::endl; std::cout << headers[0] << separator << headers[1] << separator << headers[2] << separator << headers[3] << separator << std::endl; std::cout << rule << std::endl; Real NPV; Rate fairRate; Spread fairSpread; boost::shared_ptr<PricingEngine> swapEngine( new DiscountingSwapEngine(discountingTermStructure)); spot5YearSwap.setPricingEngine(swapEngine); oneYearForward5YearSwap.setPricingEngine(swapEngine); // Of course, you're not forced to really use different curves forecastingTermStructure.linkTo(depoSwapTermStructure); discountingTermStructure.linkTo(depoSwapTermStructure); NPV = spot5YearSwap.NPV(); fairSpread = spot5YearSwap.fairSpread(); fairRate = spot5YearSwap.fairRate(); std::cout << std::setw(headers[0].size()) << "depo-swap" << separator; std::cout << std::setw(headers[1].size()) << std::fixed << std::setprecision(2) << NPV << separator; std::cout << std::setw(headers[2].size()) << io::rate(fairSpread) << separator; std::cout << std::setw(headers[3].size()) << io::rate(fairRate) << separator; std::cout << std::endl; // let's check that the 5 years swap has been correctly re-priced QL_REQUIRE(std::fabs(fairRate-s5yQuote)<1e-8, "5-years swap mispriced by " << io::rate(std::fabs(fairRate-s5yQuote))); forecastingTermStructure.linkTo(depoFutSwapTermStructure); discountingTermStructure.linkTo(depoFutSwapTermStructure); NPV = spot5YearSwap.NPV(); fairSpread = spot5YearSwap.fairSpread(); fairRate = spot5YearSwap.fairRate(); std::cout << std::setw(headers[0].size()) << "depo-fut-swap" << separator; std::cout << std::setw(headers[1].size()) << std::fixed << std::setprecision(2) << NPV << separator; std::cout << std::setw(headers[2].size()) << io::rate(fairSpread) << separator; std::cout << std::setw(headers[3].size()) << io::rate(fairRate) << separator; std::cout << std::endl; QL_REQUIRE(std::fabs(fairRate-s5yQuote)<1e-8, "5-years swap mispriced!"); forecastingTermStructure.linkTo(depoFRASwapTermStructure); discountingTermStructure.linkTo(depoFRASwapTermStructure); NPV = spot5YearSwap.NPV(); fairSpread = spot5YearSwap.fairSpread(); fairRate = spot5YearSwap.fairRate(); std::cout << std::setw(headers[0].size()) << "depo-FRA-swap" << separator; std::cout << std::setw(headers[1].size()) << std::fixed << std::setprecision(2) << NPV << separator; std::cout << std::setw(headers[2].size()) << io::rate(fairSpread) << separator; std::cout << std::setw(headers[3].size()) << io::rate(fairRate) << separator; std::cout << std::endl; QL_REQUIRE(std::fabs(fairRate-s5yQuote)<1e-8, "5-years swap mispriced!"); std::cout << rule << std::endl; // now let's price the 1Y forward 5Y swap std::cout << tab << "5-years, 1-year forward swap paying " << io::rate(fixedRate) << std::endl; std::cout << headers[0] << separator << headers[1] << separator << headers[2] << separator << headers[3] << separator << std::endl; std::cout << rule << std::endl; forecastingTermStructure.linkTo(depoSwapTermStructure); discountingTermStructure.linkTo(depoSwapTermStructure); NPV = oneYearForward5YearSwap.NPV(); fairSpread = oneYearForward5YearSwap.fairSpread(); fairRate = oneYearForward5YearSwap.fairRate(); std::cout << std::setw(headers[0].size()) << "depo-swap" << separator; std::cout << std::setw(headers[1].size()) << std::fixed << std::setprecision(2) << NPV << separator; std::cout << std::setw(headers[2].size()) << io::rate(fairSpread) << separator; std::cout << std::setw(headers[3].size()) << io::rate(fairRate) << separator; std::cout << std::endl; forecastingTermStructure.linkTo(depoFutSwapTermStructure); discountingTermStructure.linkTo(depoFutSwapTermStructure); NPV = oneYearForward5YearSwap.NPV(); fairSpread = oneYearForward5YearSwap.fairSpread(); fairRate = oneYearForward5YearSwap.fairRate(); std::cout << std::setw(headers[0].size()) << "depo-fut-swap" << separator; std::cout << std::setw(headers[1].size()) << std::fixed << std::setprecision(2) << NPV << separator; std::cout << std::setw(headers[2].size()) << io::rate(fairSpread) << separator; std::cout << std::setw(headers[3].size()) << io::rate(fairRate) << separator; std::cout << std::endl; forecastingTermStructure.linkTo(depoFRASwapTermStructure); discountingTermStructure.linkTo(depoFRASwapTermStructure); NPV = oneYearForward5YearSwap.NPV(); fairSpread = oneYearForward5YearSwap.fairSpread(); fairRate = oneYearForward5YearSwap.fairRate(); std::cout << std::setw(headers[0].size()) << "depo-FRA-swap" << separator; std::cout << std::setw(headers[1].size()) << std::fixed << std::setprecision(2) << NPV << separator; std::cout << std::setw(headers[2].size()) << io::rate(fairSpread) << separator; std::cout << std::setw(headers[3].size()) << io::rate(fairRate) << separator; std::cout << std::endl; // now let's say that the 5-years swap rate goes up to 4.60%. // A smarter market element--say, connected to a data source-- would // notice the change itself. Since we're using SimpleQuotes, // we'll have to change the value manually--which forces us to // downcast the handle and use the SimpleQuote // interface. In any case, the point here is that a change in the // value contained in the Quote triggers a new bootstrapping // of the curve and a repricing of the swap. boost::shared_ptr<SimpleQuote> fiveYearsRate = boost::dynamic_pointer_cast<SimpleQuote>(s5yRate); fiveYearsRate->setValue(0.0460); std::cout << dblrule << std::endl; std::cout << "5-year market swap-rate = " << io::rate(s5yRate->value()) << std::endl; std::cout << dblrule << std::endl; std::cout << tab << "5-years swap paying " << io::rate(fixedRate) << std::endl; std::cout << headers[0] << separator << headers[1] << separator << headers[2] << separator << headers[3] << separator << std::endl; std::cout << rule << std::endl; // now get the updated results forecastingTermStructure.linkTo(depoSwapTermStructure); discountingTermStructure.linkTo(depoSwapTermStructure); NPV = spot5YearSwap.NPV(); fairSpread = spot5YearSwap.fairSpread(); fairRate = spot5YearSwap.fairRate(); std::cout << std::setw(headers[0].size()) << "depo-swap" << separator; std::cout << std::setw(headers[1].size()) << std::fixed << std::setprecision(2) << NPV << separator; std::cout << std::setw(headers[2].size()) << io::rate(fairSpread) << separator; std::cout << std::setw(headers[3].size()) << io::rate(fairRate) << separator; std::cout << std::endl; QL_REQUIRE(std::fabs(fairRate-s5yRate->value())<1e-8, "5-years swap mispriced!"); forecastingTermStructure.linkTo(depoFutSwapTermStructure); discountingTermStructure.linkTo(depoFutSwapTermStructure); NPV = spot5YearSwap.NPV(); fairSpread = spot5YearSwap.fairSpread(); fairRate = spot5YearSwap.fairRate(); std::cout << std::setw(headers[0].size()) << "depo-fut-swap" << separator; std::cout << std::setw(headers[1].size()) << std::fixed << std::setprecision(2) << NPV << separator; std::cout << std::setw(headers[2].size()) << io::rate(fairSpread) << separator; std::cout << std::setw(headers[3].size()) << io::rate(fairRate) << separator; std::cout << std::endl; QL_REQUIRE(std::fabs(fairRate-s5yRate->value())<1e-8, "5-years swap mispriced!"); forecastingTermStructure.linkTo(depoFRASwapTermStructure); discountingTermStructure.linkTo(depoFRASwapTermStructure); NPV = spot5YearSwap.NPV(); fairSpread = spot5YearSwap.fairSpread(); fairRate = spot5YearSwap.fairRate(); std::cout << std::setw(headers[0].size()) << "depo-FRA-swap" << separator; std::cout << std::setw(headers[1].size()) << std::fixed << std::setprecision(2) << NPV << separator; std::cout << std::setw(headers[2].size()) << io::rate(fairSpread) << separator; std::cout << std::setw(headers[3].size()) << io::rate(fairRate) << separator; std::cout << std::endl; QL_REQUIRE(std::fabs(fairRate-s5yRate->value())<1e-8, "5-years swap mispriced!"); std::cout << rule << std::endl; // the 1Y forward 5Y swap changes as well std::cout << tab << "5-years, 1-year forward swap paying " << io::rate(fixedRate) << std::endl; std::cout << headers[0] << separator << headers[1] << separator << headers[2] << separator << headers[3] << separator << std::endl; std::cout << rule << std::endl; forecastingTermStructure.linkTo(depoSwapTermStructure); discountingTermStructure.linkTo(depoSwapTermStructure); NPV = oneYearForward5YearSwap.NPV(); fairSpread = oneYearForward5YearSwap.fairSpread(); fairRate = oneYearForward5YearSwap.fairRate(); std::cout << std::setw(headers[0].size()) << "depo-swap" << separator; std::cout << std::setw(headers[1].size()) << std::fixed << std::setprecision(2) << NPV << separator; std::cout << std::setw(headers[2].size()) << io::rate(fairSpread) << separator; std::cout << std::setw(headers[3].size()) << io::rate(fairRate) << separator; std::cout << std::endl; forecastingTermStructure.linkTo(depoFutSwapTermStructure); discountingTermStructure.linkTo(depoFutSwapTermStructure); NPV = oneYearForward5YearSwap.NPV(); fairSpread = oneYearForward5YearSwap.fairSpread(); fairRate = oneYearForward5YearSwap.fairRate(); std::cout << std::setw(headers[0].size()) << "depo-fut-swap" << separator; std::cout << std::setw(headers[1].size()) << std::fixed << std::setprecision(2) << NPV << separator; std::cout << std::setw(headers[2].size()) << io::rate(fairSpread) << separator; std::cout << std::setw(headers[3].size()) << io::rate(fairRate) << separator; std::cout << std::endl; forecastingTermStructure.linkTo(depoFRASwapTermStructure); discountingTermStructure.linkTo(depoFRASwapTermStructure); NPV = oneYearForward5YearSwap.NPV(); fairSpread = oneYearForward5YearSwap.fairSpread(); fairRate = oneYearForward5YearSwap.fairRate(); std::cout << std::setw(headers[0].size()) << "depo-FRA-swap" << separator; std::cout << std::setw(headers[1].size()) << std::fixed << std::setprecision(2) << NPV << separator; std::cout << std::setw(headers[2].size()) << io::rate(fairSpread) << separator; std::cout << std::setw(headers[3].size()) << io::rate(fairRate) << separator; std::cout << std::endl; Real seconds = timer.elapsed(); Integer hours = int(seconds/3600); seconds -= hours * 3600; Integer minutes = int(seconds/60); seconds -= minutes * 60; std::cout << " \nRun completed in "; if (hours > 0) std::cout << hours << " h "; if (hours > 0 || minutes > 0) std::cout << minutes << " m "; std::cout << std::fixed << std::setprecision(0) << seconds << " s\n" << std::endl; return 0; } catch (std::exception& e) { std::cerr << e.what() << std::endl; return 1; } catch (...) { std::cerr << "unknown error" << std::endl; return 1; } } Thank in advance for any help. Jeffrey Le Mercredi 19 février 2014 15h37, Luigi Ballabio <[hidden email]> a écrit : Jeffrey, I keep telling you that more people can help you if you write to the mailing list. It's for your own good. I don't have much time these days. Luigi On Wed, Feb 19, 2014 at 2:31 PM, Mbongo Nkounga Jeffrey Ted Johnattan <[hidden email]> wrote: > Dear Luigi, > Thank you very much for your email. I have tried to follow the steps you > gave (please correct me when necessary). > I am not sure the way I have used datas such as: OND, TND, SND, Tod3M, > Tom3M, Tod6M, Tom6M, IMM1x7, IMM2x8, IMM3x9, IMM4x10 (I have considered > IMMaxb like futures). > I did not use the Convexity adjustment data given in the paper (I do not > know how). > In the example, when you mix, depo-FRA-swap or depo-Futures-swap should it > be the same tenor ? (like FRA on Euribor3M and Eur swaps on Euribor3M ) > > Here is the code (I have also attached it). > > > //Datas in this program are from the paper: Bootstrapping the illiquidity, > Multiple Yield cures construction for market coherent forward rates > estimation by Ferdinando and Bianchetti. > > > #include <ql/quantlib.hpp> > > #ifdef BOOST_MSVC > > #endif > > #include <boost/timer.hpp> > #include <iostream> > #include <iomanip> > > using namespace QuantLib; > > #if defined(QL_ENABLE_SESSIONS) > namespace QuantLib { > > Integer sessionId() { return 0; } > > } > #endif > > > int main(int, char* []) { > > try { > > boost::timer timer; > std::cout << std::endl; > > /********************* > *** MARKET DATA *** > *********************/ > > Calendar calendar = TARGET(); > Date settlementDate(22, September, 2004); > // must be a business day > settlementDate = calendar.adjust(settlementDate); > > Integer fixingDays = 2; > Date todaysDate = calendar.advance(settlementDate, -fixingDays, > Days); > // nothing to do with Date::todaysDate > Settings::instance().evaluationDate() = todaysDate; > > > todaysDate = Settings::instance().evaluationDate(); > std::cout << "Today: " << todaysDate.weekday() > << ", " << todaysDate << std::endl; > > std::cout << "Settlement date: " << settlementDate.weekday() > << ", " << settlementDate << std::endl; > > > // deposits > Rate dONDQuote=0.0120; //OND > Rate dTNDQuote=0.0120; //TND > Rate dSNDQuote=0.0120; //SND > Rate d1wQuote=0.0145; > Rate d2wQuote=0.0155; > Rate d3wQuote=0.0160; > Rate d1mQuote=0.0166; > Rate d2mQuote=0.0185; > Rate d3mQuote=0.0198; > Rate d4mQuote=0.0200; > Rate d5mQuote=0.0202; > Rate d6mQuote=0.0205; > Rate d7mQuote=0.0208; > Rate d8mQuote=0.0209; > Rate d9mQuote=0.0211; > Rate d10mQuote=0.0213; > Rate d11mQuote=0.0214; > Rate d12mQuote=0.0216; > > > > > // FRAs Underlying Euribor3M > Rate Tod3MQuote=0.01927; > Rate Tom3MQuote=0.01925; > Rate fra1x4Quote=0.01696; > Rate fra2x5Quote=0.01651; > Rate fra3x6Quote=0.01612; > Rate fra4x7Quote=0.01580; > Rate fra5x8Quote=0.01589; > Rate fra6x9Quote=0.01598; > > // FRAs Underlying Euribor6M > > Rate Tod6MQuote=0.02013; > Rate Tom6MQuote=0.02000; > Rate fra1x7Quote=0.01831; > Rate fra2x8Quote=0.01792; > Rate fra3x9Quote=0.01765; > Rate fra4x10Quote=0.01742; > Rate fra5x11Quote=0.01783; > Rate fra6x12Quote=0.01788; > Rate fra12x18Quote=0.01959; > Rate fra18x24Quote=0.02352; > > // FRAs Underlying Euribor12M > > Rate fra12x24Quote=0.02256; > > // FRAs Underlying Euribor6M(IMM) > > Real IMMfra1x7Quote=98.169; > Real IMMfra2x8Quote=98.204; > Real IMMfra3x9Quote=98.236; > Real IMMfra4x10Quote=98.257; > > > // futures Underlying Euribor3M > > Real fut1Quote=98.0675; > Real fut2Quote=98.3075; > Real fut3Quote=98.4200; > Real fut4Quote=98.3950; > Real fut5Quote=98.2550; > Real fut6Quote=98.1625; > Real fut7Quote=97.9725; > Real fut8Quote=97.7675; > Real fut9Quote=97.5300; > Real fut10Quote=97.3475; > Real fut11Quote=97.1350; > Real fut12Quote=96.9550; > Real fut13Quote=96.7650; > > > // swaps on Euribor6M > > Rate s1yQuote=0.01933; > Rate s15MQuote=0.01858; > Rate s18MQuote=0.01947; > Rate s21MQuote=0.01954; > Rate s2yQuote=0.02059; > Rate s3yQuote=0.02350; > Rate s4yQuote=0.02604; > Rate s5yQuote=0.02808; > Rate s6yQuote=0.02983; > Rate s7yQuote=0.03136; > Rate s8yQuote=0.03268; > Rate s9yQuote=0.03383; > Rate s10yQuote=0.03488; > Rate s11yQuote=0.03583; > Rate s12yQuote=0.03668; > Rate s13yQuote=0.03738; > Rate s14yQuote=0.03793; > Rate s15yQuote=0.03833; > Rate s16yQuote=0.03861; > Rate s17yQuote=0.03877; > Rate s18yQuote=0.03880; > Rate s19yQuote=0.03872; > Rate s20yQuote=0.03854; > Rate s21yQuote=0.03827; > Rate s22yQuote=0.03792; > Rate s23yQuote=0.03753; > Rate s24yQuote=0.03713; > Rate s25yQuote=0.03672; > Rate s26yQuote=0.03635; > Rate s27yQuote=0.03601; > Rate s28yQuote=0.03569; > Rate s29yQuote=0.03539; > Rate s30yQuote=0.03510; > Rate s35yQuote=0.03377; > Rate s40yQuote=0.03266; > Rate s50yQuote=0.03145; > Rate s60yQuote=0.03076; > > > > // // IMM swaps on Euribor3M > // > Rate s1s1yQuote=0.01668; > Rate s2s1yQuote=0.01704; > Rate s3s1yQuote=0.01817; > Rate s4s1yQuote=0.01975; > Rate s1s2yQuote=0.01910; > Rate s2s2yQuote=0.02029; > Rate s1s3yQuote=0.02256; > > > // swaps on Euribor1M > > Rate s2x1sQuote=0.01456; > Rate s3x1sQuote=0.01406; > Rate s4x1sQuote=0.01365; > Rate s5x1sQuote=0.01337; > Rate s6x1sQuote=0.01322; > Rate s7x1sQuote=0.01316; > Rate s8x1sQuote=0.01315; > Rate s9x1sQuote=0.01321; > Rate s10x1sQuote=0.01330; > Rate s11x1sQuote=0.01347; > Rate s12x1sQuote=0.01355; > > > > /******************** > *** QUOTES *** > ********************/ > > // SimpleQuote stores a value which can be manually changed; > // other Quote subclasses could read the value from a database > // or some kind of data feed. > > // deposits > > boost::shared_ptr<Quote> dONDRate(new SimpleQuote(dONDQuote)); > boost::shared_ptr<Quote> dTNDRate(new SimpleQuote(dTNDQuote)); > boost::shared_ptr<Quote> dSNDRate(new SimpleQuote(dSNDQuote)); > boost::shared_ptr<Quote> d1wRate(new SimpleQuote(d1wQuote)); > boost::shared_ptr<Quote> d2wRate(new SimpleQuote(d2wQuote)); > boost::shared_ptr<Quote> d3wRate(new SimpleQuote(d3wQuote)); > boost::shared_ptr<Quote> d1mRate(new SimpleQuote(d1mQuote)); > boost::shared_ptr<Quote> d2mRate(new SimpleQuote(d2mQuote)); > boost::shared_ptr<Quote> d3mRate(new SimpleQuote(d3mQuote)); > boost::shared_ptr<Quote> d4mRate(new SimpleQuote(d4mQuote)); > boost::shared_ptr<Quote> d5mRate(new SimpleQuote(d5mQuote)); > boost::shared_ptr<Quote> d6mRate(new SimpleQuote(d6mQuote)); > boost::shared_ptr<Quote> d7mRate(new SimpleQuote(d7mQuote)); > boost::shared_ptr<Quote> d8mRate(new SimpleQuote(d8mQuote)); > boost::shared_ptr<Quote> d9mRate(new SimpleQuote(d9mQuote)); > boost::shared_ptr<Quote> d10mRate(new SimpleQuote(d10mQuote)); > boost::shared_ptr<Quote> d11mRate(new SimpleQuote(d11mQuote)); > boost::shared_ptr<Quote> d12mRate(new SimpleQuote(d12mQuote)); > > > > > // FRAs Underlying Euribor3M > > boost::shared_ptr<Quote> Tod3MRate(new SimpleQuote(Tod3MQuote)); > boost::shared_ptr<Quote> Tom3MRate(new SimpleQuote(Tom3MQuote)); > boost::shared_ptr<Quote> fra1x4Rate(new SimpleQuote(fra1x4Quote)); > boost::shared_ptr<Quote> fra2x5Rate(new SimpleQuote(fra2x5Quote)); > boost::shared_ptr<Quote> fra3x6Rate(new SimpleQuote(fra3x6Quote)); > boost::shared_ptr<Quote> fra4x7Rate(new SimpleQuote(fra4x7Quote)); > boost::shared_ptr<Quote> fra5x8Rate(new SimpleQuote(fra5x8Quote)); > boost::shared_ptr<Quote> fra6x9Rate(new SimpleQuote(fra6x9Quote)); > > > // FRAs Underlying Euribor6M > > boost::shared_ptr<Quote> Tod6MRate(new SimpleQuote(Tod6MQuote)); > boost::shared_ptr<Quote> Tom6MRate(new SimpleQuote(Tom6MQuote)); > boost::shared_ptr<Quote> fra1x7Rate(new SimpleQuote(fra1x7Quote)); > boost::shared_ptr<Quote> fra2x8Rate(new SimpleQuote(fra2x8Quote)); > boost::shared_ptr<Quote> fra3x9Rate(new SimpleQuote(fra3x9Quote)); > boost::shared_ptr<Quote> fra4x10Rate(new SimpleQuote(fra4x10Quote)); > boost::shared_ptr<Quote> fra5x11Rate(new SimpleQuote(fra5x11Quote)); > boost::shared_ptr<Quote> fra6x12Rate(new SimpleQuote(fra6x12Quote)); > boost::shared_ptr<Quote> fra12x18Rate(new > SimpleQuote(fra12x18Quote)); > boost::shared_ptr<Quote> fra18x24Rate(new > SimpleQuote(fra18x24Quote)); > > // FRAs Underlying Euribor12M > > boost::shared_ptr<Quote> fra12x24Rate(new SimpleQuote(fra12x24Quote)); > > > // FRAs Underlying Euribor6M(IMM) > > boost::shared_ptr<Quote> IMMfra1x7Price(new > SimpleQuote(IMMfra1x7Quote)); > boost::shared_ptr<Quote> IMMfra2x8Price(new > SimpleQuote(IMMfra2x8Quote)); > boost::shared_ptr<Quote> IMMfra3x9Price(new > SimpleQuote(IMMfra3x9Quote)); > boost::shared_ptr<Quote> IMMfra4x10Price(new > SimpleQuote(IMMfra4x10Quote)); > > > // futures > boost::shared_ptr<Quote> fut1Price(new SimpleQuote(fut1Quote)); > boost::shared_ptr<Quote> fut2Price(new SimpleQuote(fut2Quote)); > boost::shared_ptr<Quote> fut3Price(new SimpleQuote(fut3Quote)); > boost::shared_ptr<Quote> fut4Price(new SimpleQuote(fut4Quote)); > boost::shared_ptr<Quote> fut5Price(new SimpleQuote(fut5Quote)); > boost::shared_ptr<Quote> fut6Price(new SimpleQuote(fut6Quote)); > boost::shared_ptr<Quote> fut7Price(new SimpleQuote(fut7Quote)); > boost::shared_ptr<Quote> fut8Price(new SimpleQuote(fut8Quote)); > boost::shared_ptr<Quote> fut9Price(new SimpleQuote(fut9Quote)); > boost::shared_ptr<Quote> fut10Price(new SimpleQuote(fut10Quote)); > boost::shared_ptr<Quote> fut11Price(new SimpleQuote(fut11Quote)); > boost::shared_ptr<Quote> fut12Price(new SimpleQuote(fut12Quote)); > boost::shared_ptr<Quote> fut13Price(new SimpleQuote(fut13Quote)); > > > // swaps on Euribor6M > > boost::shared_ptr<Quote> s1yRate(new SimpleQuote(s1yQuote)); > boost::shared_ptr<Quote> s15MRate(new SimpleQuote(s15MQuote)); > boost::shared_ptr<Quote> s18MRate(new SimpleQuote(s18MQuote)); > boost::shared_ptr<Quote> s21MRate(new SimpleQuote(s21MQuote)); > boost::shared_ptr<Quote> s2yRate(new SimpleQuote(s2yQuote)); > boost::shared_ptr<Quote> s3yRate(new SimpleQuote(s3yQuote)); > boost::shared_ptr<Quote> s4yRate(new SimpleQuote(s4yQuote)); > boost::shared_ptr<Quote> s5yRate(new SimpleQuote(s5yQuote)); > boost::shared_ptr<Quote> s6yRate(new SimpleQuote(s6yQuote)); > boost::shared_ptr<Quote> s7yRate(new SimpleQuote(s7yQuote)); > boost::shared_ptr<Quote> s8yRate(new SimpleQuote(s8yQuote)); > boost::shared_ptr<Quote> s9yRate(new SimpleQuote(s9yQuote)); > boost::shared_ptr<Quote> s10yRate(new SimpleQuote(s10yQuote)); > boost::shared_ptr<Quote> s11yRate(new SimpleQuote(s11yQuote)); > boost::shared_ptr<Quote> s12yRate(new SimpleQuote(s12yQuote)); > boost::shared_ptr<Quote> s13yRate(new SimpleQuote(s13yQuote)); > boost::shared_ptr<Quote> s14yRate(new SimpleQuote(s14yQuote)); > boost::shared_ptr<Quote> s15yRate(new SimpleQuote(s15yQuote)); > boost::shared_ptr<Quote> s16yRate(new SimpleQuote(s16yQuote)); > boost::shared_ptr<Quote> s17yRate(new SimpleQuote(s17yQuote)); > boost::shared_ptr<Quote> s18yRate(new SimpleQuote(s18yQuote)); > boost::shared_ptr<Quote> s19yRate(new SimpleQuote(s19yQuote)); > boost::shared_ptr<Quote> s20yRate(new SimpleQuote(s20yQuote)); > boost::shared_ptr<Quote> s21yRate(new SimpleQuote(s21yQuote)); > boost::shared_ptr<Quote> s22yRate(new SimpleQuote(s22yQuote)); > boost::shared_ptr<Quote> s23yRate(new SimpleQuote(s23yQuote)); > boost::shared_ptr<Quote> s24yRate(new SimpleQuote(s24yQuote)); > boost::shared_ptr<Quote> s25yRate(new SimpleQuote(s25yQuote)); > boost::shared_ptr<Quote> s26yRate(new SimpleQuote(s26yQuote)); > boost::shared_ptr<Quote> s27yRate(new SimpleQuote(s27yQuote)); > boost::shared_ptr<Quote> s28yRate(new SimpleQuote(s28yQuote)); > boost::shared_ptr<Quote> s29yRate(new SimpleQuote(s29yQuote)); > boost::shared_ptr<Quote> s30yRate(new SimpleQuote(s30yQuote)); > boost::shared_ptr<Quote> s35yRate(new SimpleQuote(s35yQuote)); > boost::shared_ptr<Quote> s40yRate(new SimpleQuote(s40yQuote)); > boost::shared_ptr<Quote> s50yRate(new SimpleQuote(s50yQuote)); > boost::shared_ptr<Quote> s60yRate(new SimpleQuote(s60yQuote)); > > > // IMM swaps on Euribor3M > > boost::shared_ptr<Quote> s1s1yRate(new SimpleQuote(s1s1yQuote)); > boost::shared_ptr<Quote> s2s1yRate(new SimpleQuote(s2s1yQuote)); > boost::shared_ptr<Quote> s3s1yRate(new SimpleQuote(s3s1yQuote)); > boost::shared_ptr<Quote> s4s1yRate(new SimpleQuote(s4s1yQuote)); > boost::shared_ptr<Quote> s1s2yRate(new SimpleQuote(s1s2yQuote)); > boost::shared_ptr<Quote> s2s2yRate(new SimpleQuote(s2s2yQuote)); > boost::shared_ptr<Quote> s1s3yRate(new SimpleQuote(s1s3yQuote)); > > > // swaps on Euribor1M > > boost::shared_ptr<Quote> s2x1sRate(new SimpleQuote(s2x1sQuote)); > boost::shared_ptr<Quote> s3x1sRate(new SimpleQuote(s3x1sQuote)); > boost::shared_ptr<Quote> s4x1sRate(new SimpleQuote(s4x1sQuote)); > boost::shared_ptr<Quote> s5x1sRate(new SimpleQuote(s5x1sQuote)); > boost::shared_ptr<Quote> s6x1sRate(new SimpleQuote(s6x1sQuote)); > boost::shared_ptr<Quote> s7x1sRate(new SimpleQuote(s7x1sQuote)); > boost::shared_ptr<Quote> s8x1sRate(new SimpleQuote(s8x1sQuote)); > boost::shared_ptr<Quote> s9x1sRate(new SimpleQuote(s9x1sQuote)); > boost::shared_ptr<Quote> s10x1sRate(new SimpleQuote(s10x1sQuote)); > boost::shared_ptr<Quote> s11x1sRate(new SimpleQuote(s11x1sQuote)); > boost::shared_ptr<Quote> s12x1sRate(new SimpleQuote(s12x1sQuote)); > > > > /********************* > *** RATE HELPERS *** > *********************/ > > > // RateHelpers are built from the above quotes together with > // other instrument dependant infos. Quotes are passed in > // relinkable handles which could be relinked to some other > // data source later. > > // deposits > DayCounter depositDayCounter = Actual360(); > > boost::shared_ptr<RateHelper> dOND(new DepositRateHelper( > Handle<Quote>(dONDRate), > 1*Days, fixingDays, > calendar, Following, > false, depositDayCounter)); > boost::shared_ptr<RateHelper> dTND(new DepositRateHelper( > Handle<Quote>(dTNDRate), > 1*Days, fixingDays, > calendar, Following, > false, depositDayCounter)); > boost::shared_ptr<RateHelper> dSND(new DepositRateHelper( > Handle<Quote>(dSNDRate), > 1*Days, fixingDays, > calendar, Following, > false, depositDayCounter)); > boost::shared_ptr<RateHelper> d1w(new DepositRateHelper( > Handle<Quote>(d1wRate), > 1*Weeks, fixingDays, > calendar, Following, > false, depositDayCounter)); > boost::shared_ptr<RateHelper> d2w(new DepositRateHelper( > Handle<Quote>(d2wRate), > 2*Weeks, fixingDays, > calendar, Following, > false, depositDayCounter)); > boost::shared_ptr<RateHelper> d3w(new DepositRateHelper( > Handle<Quote>(d3wRate), > 3*Weeks, fixingDays, > calendar, Following, > false, depositDayCounter)); > boost::shared_ptr<RateHelper> d1m(new DepositRateHelper( > Handle<Quote>(d1mRate), > 1*Months, fixingDays, > calendar, ModifiedFollowing, > true, depositDayCounter)); > boost::shared_ptr<RateHelper> d2m(new DepositRateHelper( > Handle<Quote>(d2mRate), > 2*Months, fixingDays, > calendar, ModifiedFollowing, > true, depositDayCounter)); > boost::shared_ptr<RateHelper> d3m(new DepositRateHelper( > Handle<Quote>(d3mRate), > 3*Months, fixingDays, > calendar, ModifiedFollowing, > true, depositDayCounter)); > boost::shared_ptr<RateHelper> d4m(new DepositRateHelper( > Handle<Quote>(d4mRate), > 4*Months, fixingDays, > calendar, ModifiedFollowing, > true, depositDayCounter)); > boost::shared_ptr<RateHelper> d5m(new DepositRateHelper( > Handle<Quote>(d5mRate), > 5*Months, fixingDays, > calendar, ModifiedFollowing, > true, depositDayCounter)); > boost::shared_ptr<RateHelper> d6m(new DepositRateHelper( > Handle<Quote>(d6mRate), > 6*Months, fixingDays, > calendar, ModifiedFollowing, > true, depositDayCounter)); > boost::shared_ptr<RateHelper> d7m(new DepositRateHelper( > Handle<Quote>(d7mRate), > 7*Months, fixingDays, > calendar, ModifiedFollowing, > true, depositDayCounter)); > boost::shared_ptr<RateHelper> d8m(new DepositRateHelper( > Handle<Quote>(d8mRate), > 8*Months, fixingDays, > calendar, ModifiedFollowing, > true, depositDayCounter)); > boost::shared_ptr<RateHelper> d9m(new DepositRateHelper( > Handle<Quote>(d9mRate), > 9*Months, fixingDays, > calendar, ModifiedFollowing, > true, depositDayCounter)); > boost::shared_ptr<RateHelper> d10m(new DepositRateHelper( > Handle<Quote>(d10mRate), > 10*Months, fixingDays, > calendar, ModifiedFollowing, > true, depositDayCounter)); > boost::shared_ptr<RateHelper> d11m(new DepositRateHelper( > Handle<Quote>(d11mRate), > 11*Months, fixingDays, > calendar, ModifiedFollowing, > true, depositDayCounter)); > boost::shared_ptr<RateHelper> d12m(new DepositRateHelper( > Handle<Quote>(d12mRate), > 12*Months, fixingDays, > calendar, ModifiedFollowing, > true, depositDayCounter)); > > > > > // FRAs Underlying Euribor3M > > boost::shared_ptr<RateHelper> Tod3M(new FraRateHelper( > Handle<Quote>(Tod3MRate), > 0, 3, fixingDays, calendar, ModifiedFollowing, > true, depositDayCounter)); > boost::shared_ptr<RateHelper> Tom3M(new FraRateHelper( > Handle<Quote>(Tom3MRate), > 0, 3, fixingDays, calendar, ModifiedFollowing, > true, depositDayCounter)); > boost::shared_ptr<RateHelper> fra1x4(new FraRateHelper( > Handle<Quote>(fra1x4Rate), > 1, 4, fixingDays, calendar, ModifiedFollowing, > true, depositDayCounter)); > boost::shared_ptr<RateHelper> fra2x5(new FraRateHelper( > Handle<Quote>(fra2x5Rate), > 2, 5, fixingDays, calendar, ModifiedFollowing, > true, depositDayCounter)); > boost::shared_ptr<RateHelper> fra3x6(new FraRateHelper( > Handle<Quote>(fra3x6Rate), > 3, 6, fixingDays, calendar, ModifiedFollowing, > true, depositDayCounter)); > boost::shared_ptr<RateHelper> fra4x7(new FraRateHelper( > Handle<Quote>(fra4x7Rate), > 4, 7, fixingDays, calendar, ModifiedFollowing, > true, depositDayCounter)); > boost::shared_ptr<RateHelper> fra5x8(new FraRateHelper( > Handle<Quote>(fra5x8Rate), > 5, 8, fixingDays, calendar, ModifiedFollowing, > true, depositDayCounter)); > boost::shared_ptr<RateHelper> fra6x9(new FraRateHelper( > Handle<Quote>(fra6x9Rate), > 6, 9, fixingDays, calendar, ModifiedFollowing, > true, depositDayCounter)); > > > // FRAs Underlying Euribor6M > > boost::shared_ptr<RateHelper> Tod6M(new FraRateHelper( > Handle<Quote>(Tod6MRate), > 0, 6, fixingDays, calendar, ModifiedFollowing, > true, depositDayCounter)); > boost::shared_ptr<RateHelper> Tom6M(new FraRateHelper( > Handle<Quote>(Tom6MRate), > 0, 6, fixingDays, calendar, ModifiedFollowing, > true, depositDayCounter)); > boost::shared_ptr<RateHelper> fra1x7(new FraRateHelper( > Handle<Quote>(fra1x7Rate), > 1, 7, fixingDays, calendar, ModifiedFollowing, > true, depositDayCounter)); > boost::shared_ptr<RateHelper> fra2x8(new FraRateHelper( > Handle<Quote>(fra2x8Rate), > 2, 8, fixingDays, calendar, ModifiedFollowing, > true, depositDayCounter)); > boost::shared_ptr<RateHelper> fra3x9(new FraRateHelper( > Handle<Quote>(fra3x9Rate), > 3, 9, fixingDays, calendar, ModifiedFollowing, > true, depositDayCounter)); > boost::shared_ptr<RateHelper> fra4x10(new FraRateHelper( > Handle<Quote>(fra4x10Rate), > 4, 10, fixingDays, calendar, ModifiedFollowing, > true, depositDayCounter)); > boost::shared_ptr<RateHelper> fra5x11(new FraRateHelper( > Handle<Quote>(fra5x11Rate), > 5, 11, fixingDays, calendar, ModifiedFollowing, > true, depositDayCounter)); > boost::shared_ptr<RateHelper> fra6x12(new FraRateHelper( > Handle<Quote>(fra6x12Rate), > 6, 12, fixingDays, calendar, ModifiedFollowing, > true, depositDayCounter)); > boost::shared_ptr<RateHelper> fra12x18(new FraRateHelper( > Handle<Quote>(fra12x18Rate), > 12, 18, fixingDays, calendar, ModifiedFollowing, > true, depositDayCounter)); > boost::shared_ptr<RateHelper> fra18x24(new FraRateHelper( > Handle<Quote>(fra18x24Rate), > 18, 24, fixingDays, calendar, ModifiedFollowing, > true, depositDayCounter)); > > // FRAs Underlying Euribor12M > > boost::shared_ptr<RateHelper> fra12x24(new FraRateHelper( > Handle<Quote>(fra12x24Rate), > 12, 24, fixingDays, calendar, ModifiedFollowing, > true, depositDayCounter)); > > > > // FRAs Underlying Euribor6M(IMM) > > > // setup FRAs > // Rate convexityAdjustment = 0.0; ???? > Integer FRAMonths = 6; > Date imm1 = IMM::nextDate(settlementDate); > boost::shared_ptr<RateHelper> IMMfra1x7(new FuturesRateHelper( > Handle<Quote>(IMMfra1x7Price), > imm1, > FRAMonths, calendar, ModifiedFollowing, > true, depositDayCounter)); > imm1 = IMM::nextDate(imm1+1); > boost::shared_ptr<RateHelper> IMMfra2x8(new FuturesRateHelper( > Handle<Quote>(IMMfra2x8Price), > imm1, > FRAMonths, calendar, ModifiedFollowing, > true, depositDayCounter)); > imm1 = IMM::nextDate(imm1+1); > boost::shared_ptr<RateHelper> IMMfra3x9(new FuturesRateHelper( > Handle<Quote>(IMMfra3x9Price), > imm1, > FRAMonths, calendar, ModifiedFollowing, > true, depositDayCounter)); > imm1 = IMM::nextDate(imm1+1); > boost::shared_ptr<RateHelper> IMMfra4x10(new FuturesRateHelper( > Handle<Quote>(IMMfra4x10Price), > imm1, > FRAMonths, calendar, ModifiedFollowing, > true, depositDayCounter)); > > > > > // setup futures > // Rate convexityAdjustment = 0.0; ???? > Integer futMonths = 3; > Date imm = IMM::nextDate(settlementDate); > boost::shared_ptr<RateHelper> fut1(new FuturesRateHelper( > Handle<Quote>(fut1Price), > imm, > futMonths, calendar, ModifiedFollowing, > true, depositDayCounter)); > imm = IMM::nextDate(imm+1); > boost::shared_ptr<RateHelper> fut2(new FuturesRateHelper( > Handle<Quote>(fut2Price), > imm, > futMonths, calendar, ModifiedFollowing, > true, depositDayCounter)); > imm = IMM::nextDate(imm+1); > boost::shared_ptr<RateHelper> fut3(new FuturesRateHelper( > Handle<Quote>(fut3Price), > imm, > futMonths, calendar, ModifiedFollowing, > true, depositDayCounter)); > imm = IMM::nextDate(imm+1); > boost::shared_ptr<RateHelper> fut4(new FuturesRateHelper( > Handle<Quote>(fut4Price), > imm, > futMonths, calendar, ModifiedFollowing, > true, depositDayCounter)); > imm = IMM::nextDate(imm+1); > boost::shared_ptr<RateHelper> fut5(new FuturesRateHelper( > Handle<Quote>(fut5Price), > imm, > futMonths, calendar, ModifiedFollowing, > true, depositDayCounter)); > imm = IMM::nextDate(imm+1); > boost::shared_ptr<RateHelper> fut6(new FuturesRateHelper( > Handle<Quote>(fut6Price), > imm, > futMonths, calendar, ModifiedFollowing, > true, depositDayCounter)); > imm = IMM::nextDate(imm+1); > boost::shared_ptr<RateHelper> fut7(new FuturesRateHelper( > Handle<Quote>(fut7Price), > imm, > futMonths, calendar, ModifiedFollowing, > true, depositDayCounter)); > imm = IMM::nextDate(imm+1); > boost::shared_ptr<RateHelper> fut8(new FuturesRateHelper( > Handle<Quote>(fut8Price), > imm, > futMonths, calendar, ModifiedFollowing, > true, depositDayCounter)); > > imm = IMM::nextDate(imm+1); > boost::shared_ptr<RateHelper> fut9(new FuturesRateHelper( > Handle<Quote>(fut9Price), > imm, > futMonths, calendar, ModifiedFollowing, > true, depositDayCounter)); > > imm = IMM::nextDate(imm+1); > boost::shared_ptr<RateHelper> fut10(new FuturesRateHelper( > Handle<Quote>(fut10Price), > imm, > futMonths, calendar, ModifiedFollowing, > true, depositDayCounter)); > > imm = IMM::nextDate(imm+1); > boost::shared_ptr<RateHelper> fut11(new FuturesRateHelper( > Handle<Quote>(fut11Price), > imm, > futMonths, calendar, ModifiedFollowing, > true, depositDayCounter)); > imm = IMM::nextDate(imm+1); > boost::shared_ptr<RateHelper> fut12(new FuturesRateHelper( > Handle<Quote>(fut12Price), > imm, > futMonths, calendar, ModifiedFollowing, > true, depositDayCounter)); > > imm = IMM::nextDate(imm+1); > boost::shared_ptr<RateHelper> fut13(new FuturesRateHelper( > Handle<Quote>(fut13Price), > imm, > futMonths, calendar, ModifiedFollowing, > true, depositDayCounter)); > > > // setup swaps Euribor6M > Frequency swFixedLegFrequency6 = Annual; > BusinessDayConvention swFixedLegConvention6 = Unadjusted; > DayCounter swFixedLegDayCounter6 = Thirty360(Thirty360::European); > boost::shared_ptr<IborIndex> swFloatingLegIndex6(new Euribor6M); > > boost::shared_ptr<RateHelper> s1y(new SwapRateHelper( > Handle<Quote>(s1yRate), 1*Years, > calendar, swFixedLegFrequency6, > swFixedLegConvention6, swFixedLegDayCounter6, > swFloatingLegIndex6)); > > boost::shared_ptr<RateHelper> s15M(new SwapRateHelper( > Handle<Quote>(s15MRate), 15*Months, > calendar, swFixedLegFrequency6, > swFixedLegConvention6, swFixedLegDayCounter6, > swFloatingLegIndex6)); > boost::shared_ptr<RateHelper> s18M(new SwapRateHelper( > Handle<Quote>(s18MRate), 18*Months, > calendar, swFixedLegFrequency6, > swFixedLegConvention6, swFixedLegDayCounter6, > swFloatingLegIndex6)); > boost::shared_ptr<RateHelper> s21M(new SwapRateHelper( > Handle<Quote>(s21MRate), 21*Months, > calendar, swFixedLegFrequency6, > swFixedLegConvention6, swFixedLegDayCounter6, > swFloatingLegIndex6)); > boost::shared_ptr<RateHelper> s2y(new SwapRateHelper( > Handle<Quote>(s2yRate), 2*Years, > calendar, swFixedLegFrequency6, > swFixedLegConvention6, swFixedLegDayCounter6, > swFloatingLegIndex6)); > > boost::shared_ptr<RateHelper> s3y(new SwapRateHelper( > Handle<Quote>(s3yRate), 3*Years, > calendar, swFixedLegFrequency6, > swFixedLegConvention6, swFixedLegDayCounter6, > swFloatingLegIndex6)); > > boost::shared_ptr<RateHelper> s4y(new SwapRateHelper( > Handle<Quote>(s4yRate), 4*Years, > calendar, swFixedLegFrequency6, > swFixedLegConvention6, swFixedLegDayCounter6, > swFloatingLegIndex6)); > > boost::shared_ptr<RateHelper> s5y(new SwapRateHelper( > Handle<Quote>(s5yRate), 5*Years, > calendar, swFixedLegFrequency6, > swFixedLegConvention6, swFixedLegDayCounter6, > swFloatingLegIndex6)); > > boost::shared_ptr<RateHelper> s6y(new SwapRateHelper( > Handle<Quote>(s6yRate), 6*Years, > calendar, swFixedLegFrequency6, > swFixedLegConvention6, swFixedLegDayCounter6, > swFloatingLegIndex6)); > > boost::shared_ptr<RateHelper> s7y(new SwapRateHelper( > Handle<Quote>(s7yRate), 7*Years, > calendar, swFixedLegFrequency6, > swFixedLegConvention6, swFixedLegDayCounter6, > swFloatingLegIndex6)); > > boost::shared_ptr<RateHelper> s8y(new SwapRateHelper( > Handle<Quote>(s8yRate), 8*Years, > calendar, swFixedLegFrequency6, > swFixedLegConvention6, swFixedLegDayCounter6, > swFloatingLegIndex6)); > > boost::shared_ptr<RateHelper> s9y(new SwapRateHelper( > Handle<Quote>(s9yRate), 9*Years, > calendar, swFixedLegFrequency6, > swFixedLegConvention6, swFixedLegDayCounter6, > swFloatingLegIndex6)); > > boost::shared_ptr<RateHelper> s10y(new SwapRateHelper( > Handle<Quote>(s10yRate), 10*Years, > calendar, swFixedLegFrequency6, > swFixedLegConvention6, swFixedLegDayCounter6, > swFloatingLegIndex6)); > > boost::shared_ptr<RateHelper> s11y(new SwapRateHelper( > Handle<Quote>(s11yRate), 11*Years, > calendar, swFixedLegFrequency6, > swFixedLegConvention6, swFixedLegDayCounter6, > swFloatingLegIndex6)); > > boost::shared_ptr<RateHelper> s12y(new SwapRateHelper( > Handle<Quote>(s12yRate), 12*Years, > calendar, swFixedLegFrequency6, > swFixedLegConvention6, swFixedLegDayCounter6, > swFloatingLegIndex6)); > > boost::shared_ptr<RateHelper> s13y(new SwapRateHelper( > Handle<Quote>(s13yRate), 13*Years, > calendar, swFixedLegFrequency6, > swFixedLegConvention6, swFixedLegDayCounter6, > swFloatingLegIndex6)); > > boost::shared_ptr<RateHelper> s14y(new SwapRateHelper( > Handle<Quote>(s14yRate), 14*Years, > calendar, swFixedLegFrequency6, > swFixedLegConvention6, swFixedLegDayCounter6, > swFloatingLegIndex6)); > > boost::shared_ptr<RateHelper> s15y(new SwapRateHelper( > Handle<Quote>(s15yRate), 15*Years, > calendar, swFixedLegFrequency6, > swFixedLegConvention6, swFixedLegDayCounter6, > swFloatingLegIndex6)); > > boost::shared_ptr<RateHelper> s16y(new SwapRateHelper( > Handle<Quote>(s16yRate), 16*Years, > calendar, swFixedLegFrequency6, > swFixedLegConvention6, swFixedLegDayCounter6, > swFloatingLegIndex6)); > > boost::shared_ptr<RateHelper> s17y(new SwapRateHelper( > Handle<Quote>(s17yRate), 17*Years, > calendar, swFixedLegFrequency6, > swFixedLegConvention6, swFixedLegDayCounter6, > swFloatingLegIndex6)); > > boost::shared_ptr<RateHelper> s18y(new SwapRateHelper( > Handle<Quote>(s18yRate), 18*Years, > calendar, swFixedLegFrequency6, > swFixedLegConvention6, swFixedLegDayCounter6, > swFloatingLegIndex6)); > > boost::shared_ptr<RateHelper> s19y(new SwapRateHelper( > Handle<Quote>(s19yRate), 19*Years, > calendar, swFixedLegFrequency6, > swFixedLegConvention6, swFixedLegDayCounter6, > swFloatingLegIndex6)); > > boost::shared_ptr<RateHelper> s20y(new SwapRateHelper( > Handle<Quote>(s20yRate), 20*Years, > calendar, swFixedLegFrequency6, > swFixedLegConvention6, swFixedLegDayCounter6, > swFloatingLegIndex6)); > > boost::shared_ptr<RateHelper> s21y(new SwapRateHelper( > Handle<Quote>(s21yRate), 21*Years, > calendar, swFixedLegFrequency6, > swFixedLegConvention6, swFixedLegDayCounter6, > swFloatingLegIndex6)); > > boost::shared_ptr<RateHelper> s22y(new SwapRateHelper( > Handle<Quote>(s22yRate), 22*Years, > calendar, swFixedLegFrequency6, > swFixedLegConvention6, swFixedLegDayCounter6, > swFloatingLegIndex6)); > > boost::shared_ptr<RateHelper> s23y(new SwapRateHelper( > Handle<Quote>(s23yRate), 23*Years, > calendar, swFixedLegFrequency6, > swFixedLegConvention6, swFixedLegDayCounter6, > swFloatingLegIndex6)); > > boost::shared_ptr<RateHelper> s24y(new SwapRateHelper( > Handle<Quote>(s24yRate), 24*Years, > calendar, swFixedLegFrequency6, > swFixedLegConvention6, swFixedLegDayCounter6, > swFloatingLegIndex6)); > > boost::shared_ptr<RateHelper> s25y(new SwapRateHelper( > Handle<Quote>(s25yRate), 25*Years, > calendar, swFixedLegFrequency6, > swFixedLegConvention6, swFixedLegDayCounter6, > swFloatingLegIndex6)); > > boost::shared_ptr<RateHelper> s26y(new SwapRateHelper( > Handle<Quote>(s26yRate), 26*Years, > calendar, swFixedLegFrequency6, > swFixedLegConvention6, swFixedLegDayCounter6, > swFloatingLegIndex6)); > > boost::shared_ptr<RateHelper> s27y(new SwapRateHelper( > Handle<Quote>(s27yRate), 27*Years, > calendar, swFixedLegFrequency6, > swFixedLegConvention6, swFixedLegDayCounter6, > swFloatingLegIndex6)); > > boost::shared_ptr<RateHelper> s28y(new SwapRateHelper( > Handle<Quote>(s28yRate), 28*Years, > calendar, swFixedLegFrequency6, > swFixedLegConvention6, swFixedLegDayCounter6, > swFloatingLegIndex6)); > > boost::shared_ptr<RateHelper> s29y(new SwapRateHelper( > Handle<Quote>(s29yRate), 29*Years, > calendar, swFixedLegFrequency6, > swFixedLegConvention6, swFixedLegDayCounter6, > swFloatingLegIndex6)); > > boost::shared_ptr<RateHelper> s30y(new SwapRateHelper( > Handle<Quote>(s30yRate), 30*Years, > calendar, swFixedLegFrequency6, > swFixedLegConvention6, swFixedLegDayCounter6, > swFloatingLegIndex6)); > > boost::shared_ptr<RateHelper> s35y(new SwapRateHelper( > Handle<Quote>(s35yRate), 35*Years, > calendar, swFixedLegFrequency6, > swFixedLegConvention6, swFixedLegDayCounter6, > swFloatingLegIndex6)); > > boost::shared_ptr<RateHelper> s40y(new SwapRateHelper( > Handle<Quote>(s40yRate), 40*Years, > calendar, swFixedLegFrequency6, > swFixedLegConvention6, swFixedLegDayCounter6, > swFloatingLegIndex6)); > > boost::shared_ptr<RateHelper> s50y(new SwapRateHelper( > Handle<Quote>(s50yRate), 50*Years, > calendar, swFixedLegFrequency6, > swFixedLegConvention6, swFixedLegDayCounter6, > swFloatingLegIndex6)); > > boost::shared_ptr<RateHelper> s60y(new SwapRateHelper( > Handle<Quote>(s60yRate), 60*Years, > calendar, swFixedLegFrequency6, > swFixedLegConvention6, swFixedLegDayCounter6, > swFloatingLegIndex6)); > > // setup swaps Euribor3M > Frequency swFixedLegFrequency3 = Annual; > BusinessDayConvention swFixedLegConvention3 = Unadjusted; > DayCounter swFixedLegDayCounter3 = Thirty360(Thirty360::European); > boost::shared_ptr<IborIndex> swFloatingLegIndex3(new Euribor3M); > > boost::shared_ptr<RateHelper> s1s1y(new SwapRateHelper( > Handle<Quote>(s1s1yRate), 1*Years, > calendar, swFixedLegFrequency3, > swFixedLegConvention3, swFixedLegDayCounter3, > swFloatingLegIndex3)); > > boost::shared_ptr<RateHelper> s2s1y(new SwapRateHelper( > Handle<Quote>(s2s1yRate), 1*Years, > calendar, swFixedLegFrequency3, > swFixedLegConvention3, swFixedLegDayCounter3, > swFloatingLegIndex3)); > > boost::shared_ptr<RateHelper> s3s1y(new SwapRateHelper( > Handle<Quote>(s3s1yRate), 1*Years, > calendar, swFixedLegFrequency3, > swFixedLegConvention3, swFixedLegDayCounter3, > swFloatingLegIndex3)); > > boost::shared_ptr<RateHelper> s4s1y(new SwapRateHelper( > Handle<Quote>(s4s1yRate), 1*Years, > calendar, swFixedLegFrequency3, > swFixedLegConvention3, swFixedLegDayCounter3, > swFloatingLegIndex3)); > > boost::shared_ptr<RateHelper> s1s2y(new SwapRateHelper( > Handle<Quote>(s1s2yRate), 2*Years, > calendar, swFixedLegFrequency3, > swFixedLegConvention3, swFixedLegDayCounter3, > swFloatingLegIndex3)); > > boost::shared_ptr<RateHelper> s2s2y(new SwapRateHelper( > Handle<Quote>(s2s2yRate), 2*Years, > calendar, swFixedLegFrequency3, > swFixedLegConvention3, swFixedLegDayCounter3, > swFloatingLegIndex3)); > > boost::shared_ptr<RateHelper> s1s3y(new SwapRateHelper( > Handle<Quote>(s1s3yRate), 3*Years, > calendar, swFixedLegFrequency3, > swFixedLegConvention3, swFixedLegDayCounter3, > swFloatingLegIndex3)); > > > // setup swaps Euribor1M > Frequency swFixedLegFrequency1 = Annual; > BusinessDayConvention swFixedLegConvention1 = Unadjusted; > DayCounter swFixedLegDayCounter1 = Thirty360(Thirty360::European); > boost::shared_ptr<IborIndex> swFloatingLegIndex1(new Euribor1M); > > boost::shared_ptr<RateHelper> s2x1s(new SwapRateHelper( > Handle<Quote>(s2x1sRate), 1*Months, > calendar, swFixedLegFrequency1, > swFixedLegConvention1, swFixedLegDayCounter1, > swFloatingLegIndex1)); > > boost::shared_ptr<RateHelper> s3x1s(new SwapRateHelper( > Handle<Quote>(s3x1sRate), 3*Months, > calendar, swFixedLegFrequency1, > swFixedLegConvention1, swFixedLegDayCounter1, > swFloatingLegIndex1)); > > boost::shared_ptr<RateHelper> s4x1s(new SwapRateHelper( > Handle<Quote>(s4x1sRate), 4*Months, > calendar, swFixedLegFrequency1, > swFixedLegConvention1, swFixedLegDayCounter1, > swFloatingLegIndex1)); > > boost::shared_ptr<RateHelper> s5x1s(new SwapRateHelper( > Handle<Quote>(s5x1sRate), 5*Months, > calendar, swFixedLegFrequency1, > swFixedLegConvention1, swFixedLegDayCounter1, > swFloatingLegIndex1)); > > boost::shared_ptr<RateHelper> s6x1s(new SwapRateHelper( > Handle<Quote>(s6x1sRate), 6*Months, > calendar, swFixedLegFrequency1, > swFixedLegConvention1, swFixedLegDayCounter1, > swFloatingLegIndex1)); > > boost::shared_ptr<RateHelper> s7x1s(new SwapRateHelper( > Handle<Quote>(s7x1sRate), 7*Months, > calendar, swFixedLegFrequency1, > swFixedLegConvention1, swFixedLegDayCounter1, > swFloatingLegIndex1)); > > boost::shared_ptr<RateHelper> s8x1s(new SwapRateHelper( > Handle<Quote>(s8x1sRate), 8*Months, > calendar, swFixedLegFrequency1, > swFixedLegConvention1, swFixedLegDayCounter1, > swFloatingLegIndex1)); > > boost::shared_ptr<RateHelper> s9x1s(new SwapRateHelper( > Handle<Quote>(s9x1sRate), 9*Months, > calendar, swFixedLegFrequency1, > swFixedLegConvention1, swFixedLegDayCounter1, > swFloatingLegIndex1)); > > boost::shared_ptr<RateHelper> s10x1s(new SwapRateHelper( > Handle<Quote>(s10x1sRate), 10*Months, > calendar, swFixedLegFrequency1, > swFixedLegConvention1, swFixedLegDayCounter1, > swFloatingLegIndex1)); > > boost::shared_ptr<RateHelper> s11x1s(new SwapRateHelper( > Handle<Quote>(s11x1sRate), 11*Months, > calendar, swFixedLegFrequency1, > swFixedLegConvention1, swFixedLegDayCounter1, > swFloatingLegIndex1)); > > boost::shared_ptr<RateHelper> s12x1s(new SwapRateHelper( > Handle<Quote>(s2x1sRate), 12*Months, > calendar, swFixedLegFrequency1, > swFixedLegConvention1, swFixedLegDayCounter1, > swFloatingLegIndex1)); > > /********************* > ** CURVE BUILDING ** > *********************/ > > // Any DayCounter would be fine. > // ActualActual::ISDA ensures that 30 years is 30.0 > DayCounter termStructureDayCounter = > ActualActual(ActualActual::ISDA); > > > double tolerance = 1.0e-15; > > // A depo-swap (on Euribor6M) curve > /* std::vector<boost::shared_ptr<RateHelper> > depoSwapInstruments; > depoSwapInstruments.push_back(dOND); > depoSwapInstruments.push_back(dTND); > depoSwapInstruments.push_back(dSND); > depoSwapInstruments.push_back(d1w); > depoSwapInstruments.push_back(d2w); > depoSwapInstruments.push_back(d3w); > depoSwapInstruments.push_back(d1m); > depoSwapInstruments.push_back(d2m); > depoSwapInstruments.push_back(d3m); > depoSwapInstruments.push_back(d4m); > depoSwapInstruments.push_back(d5m); > depoSwapInstruments.push_back(d6m); > depoSwapInstruments.push_back(d7m); > depoSwapInstruments.push_back(d8m); > depoSwapInstruments.push_back(d9m); > depoSwapInstruments.push_back(d10m); > depoSwapInstruments.push_back(d11m); > depoSwapInstruments.push_back(d12m); > depoSwapInstruments.push_back(s1y); > depoSwapInstruments.push_back(s15M); > depoSwapInstruments.push_back(s18M); > depoSwapInstruments.push_back(s21M); > depoSwapInstruments.push_back(s2y); > depoSwapInstruments.push_back(s3y); > depoSwapInstruments.push_back(s4y); > depoSwapInstruments.push_back(s5y); > depoSwapInstruments.push_back(s6y); > depoSwapInstruments.push_back(s7y); > depoSwapInstruments.push_back(s8y); > depoSwapInstruments.push_back(s9y); > depoSwapInstruments.push_back(s10y); > depoSwapInstruments.push_back(s11y); > depoSwapInstruments.push_back(s12y); > depoSwapInstruments.push_back(s13y); > depoSwapInstruments.push_back(s14y); > depoSwapInstruments.push_back(s15y); > depoSwapInstruments.push_back(s16y); > depoSwapInstruments.push_back(s17y); > depoSwapInstruments.push_back(s18y); > depoSwapInstruments.push_back(s19y); > depoSwapInstruments.push_back(s20y); > depoSwapInstruments.push_back(s21y); > depoSwapInstruments.push_back(s22y); > depoSwapInstruments.push_back(s23y); > depoSwapInstruments.push_back(s24y); > depoSwapInstruments.push_back(s25y); > depoSwapInstruments.push_back(s26y); > depoSwapInstruments.push_back(s27y); > depoSwapInstruments.push_back(s28y); > depoSwapInstruments.push_back(s29y); > depoSwapInstruments.push_back(s30y); > depoSwapInstruments.push_back(s35y); > depoSwapInstruments.push_back(s40y); > depoSwapInstruments.push_back(s50y); > depoSwapInstruments.push_back(s60y); > boost::shared_ptr<YieldTermStructure> depoSwapTermStructure( > new PiecewiseYieldCurve<Discount,LogLinear>( > settlementDate, > depoSwapInstruments, > termStructureDayCounter, > tolerance));*/ > > > // A depo-swap (on Euribor3M) curve > std::vector<boost::shared_ptr<RateHelper> > depoSwapInstruments; > depoSwapInstruments.push_back(dOND); > depoSwapInstruments.push_back(dTND); > depoSwapInstruments.push_back(dSND); > depoSwapInstruments.push_back(d1w); > depoSwapInstruments.push_back(d2w); > depoSwapInstruments.push_back(d3w); > depoSwapInstruments.push_back(d1m); > depoSwapInstruments.push_back(d2m); > depoSwapInstruments.push_back(d3m); > depoSwapInstruments.push_back(d4m); > depoSwapInstruments.push_back(d5m); > depoSwapInstruments.push_back(d6m); > depoSwapInstruments.push_back(d7m); > depoSwapInstruments.push_back(d8m); > depoSwapInstruments.push_back(d9m); > depoSwapInstruments.push_back(d10m); > depoSwapInstruments.push_back(d11m); > depoSwapInstruments.push_back(d12m); > depoSwapInstruments.push_back(s1s1y); > depoSwapInstruments.push_back(s2s1y); > depoSwapInstruments.push_back(s3s1y); > depoSwapInstruments.push_back(s4s1y); > depoSwapInstruments.push_back(s1s2y); > depoSwapInstruments.push_back(s2s2y); > depoSwapInstruments.push_back(s1s3y); > boost::shared_ptr<YieldTermStructure> depoSwapTermStructure( > new PiecewiseYieldCurve<Discount,LogLinear>( > settlementDate, > depoSwapInstruments, > termStructureDayCounter, > tolerance)); > > > // A depo-swap (on Euribor1M) curve > /* std::vector<boost::shared_ptr<RateHelper> > depoSwapInstruments; > depoSwapInstruments.push_back(dOND); > depoSwapInstruments.push_back(dTND); > depoSwapInstruments.push_back(dSND); > depoSwapInstruments.push_back(d1w); > depoSwapInstruments.push_back(d2w); > depoSwapInstruments.push_back(d3w); > depoSwapInstruments.push_back(d1m); > depoSwapInstruments.push_back(d2m); > depoSwapInstruments.push_back(d3m); > depoSwapInstruments.push_back(d4m); > depoSwapInstruments.push_back(d5m); > depoSwapInstruments.push_back(d6m); > depoSwapInstruments.push_back(d7m); > depoSwapInstruments.push_back(d8m); > depoSwapInstruments.push_back(d9m); > depoSwapInstruments.push_back(d10m); > depoSwapInstruments.push_back(d11m); > depoSwapInstruments.push_back(d12m); > depoSwapInstruments.push_back(s2x1s); > depoSwapInstruments.push_back(s3x1s); > depoSwapInstruments.push_back(s4x1s); > depoSwapInstruments.push_back(s5x1s); > depoSwapInstruments.push_back(s6x1s); > depoSwapInstruments.push_back(s7x1s); > depoSwapInstruments.push_back(s8x1s); > depoSwapInstruments.push_back(s9x1s); > depoSwapInstruments.push_back(s10x1s); > depoSwapInstruments.push_back(s11x1s); > depoSwapInstruments.push_back(s12x1s); > boost::shared_ptr<YieldTermStructure> depoSwapTermStructure( > new PiecewiseYieldCurve<Discount,LogLinear>( > settlementDate, > depoSwapInstruments, > termStructureDayCounter, > tolerance));*/ > > > // A depo-futures-swap (on Euribor6M) curve > /* std::vector<boost::shared_ptr<RateHelper> > depoFutSwapInstruments; > depoFutSwapInstruments.push_back(dOND); > depoFutSwapInstruments.push_back(dTND); > depoFutSwapInstruments.push_back(dSND); > depoFutSwapInstruments.push_back(d1w); > depoFutSwapInstruments.push_back(d2w); > depoFutSwapInstruments.push_back(d3w); > depoFutSwapInstruments.push_back(d1m); > depoFutSwapInstruments.push_back(d2m); > depoFutSwapInstruments.push_back(d3m); > depoFutSwapInstruments.push_back(d4m); > depoFutSwapInstruments.push_back(d5m); > depoFutSwapInstruments.push_back(d6m); > depoFutSwapInstruments.push_back(d7m); > depoFutSwapInstruments.push_back(d8m); > depoFutSwapInstruments.push_back(d9m); > depoFutSwapInstruments.push_back(d10m); > depoFutSwapInstruments.push_back(d11m); > depoFutSwapInstruments.push_back(d12m); > depoFutSwapInstruments.push_back(fut1); > depoFutSwapInstruments.push_back(fut2); > depoFutSwapInstruments.push_back(fut3); > depoFutSwapInstruments.push_back(fut4); > depoFutSwapInstruments.push_back(fut5); > depoFutSwapInstruments.push_back(fut6); > depoFutSwapInstruments.push_back(fut7); > depoFutSwapInstruments.push_back(fut8); > depoFutSwapInstruments.push_back(fut9); > depoFutSwapInstruments.push_back(fut10); > depoFutSwapInstruments.push_back(fut11); > depoFutSwapInstruments.push_back(fut12); > depoFutSwapInstruments.push_back(fut13); > depoFutSwapInstruments.push_back(s1y); > depoFutSwapInstruments.push_back(s15M); > depoFutSwapInstruments.push_back(s18M); > depoFutSwapInstruments.push_back(s21M); > depoFutSwapInstruments.push_back(s2y); > depoFutSwapInstruments.push_back(s3y); > depoFutSwapInstruments.push_back(s4y); > depoFutSwapInstruments.push_back(s5y); > depoFutSwapInstruments.push_back(s6y); > depoFutSwapInstruments.push_back(s7y); > depoFutSwapInstruments.push_back(s8y); > depoFutSwapInstruments.push_back(s9y); > depoFutSwapInstruments.push_back(s10y); > depoFutSwapInstruments.push_back(s11y); > depoFutSwapInstruments.push_back(s12y); > depoFutSwapInstruments.push_back(s13y); > depoFutSwapInstruments.push_back(s14y); > depoFutSwapInstruments.push_back(s15y); > depoFutSwapInstruments.push_back(s16y); > depoFutSwapInstruments.push_back(s17y); > depoFutSwapInstruments.push_back(s18y); > depoFutSwapInstruments.push_back(s19y); > depoFutSwapInstruments.push_back(s20y); > depoFutSwapInstruments.push_back(s21y); > depoFutSwapInstruments.push_back(s22y); > depoFutSwapInstruments.push_back(s23y); > depoFutSwapInstruments.push_back(s24y); > depoFutSwapInstruments.push_back(s25y); > depoFutSwapInstruments.push_back(s26y); > depoFutSwapInstruments.push_back(s27y); > depoFutSwapInstruments.push_back(s28y); > depoFutSwapInstruments.push_back(s29y); > depoFutSwapInstruments.push_back(s30y); > depoFutSwapInstruments.push_back(s35y); > depoFutSwapInstruments.push_back(s40y); > depoFutSwapInstruments.push_back(s50y); > depoFutSwapInstruments.push_back(s60y); > boost::shared_ptr<YieldTermStructure> depoFutSwapTermStructure( > new PiecewiseYieldCurve<Discount,LogLinear>( > settlementDate, > depoFutSwapInstruments, > termStructureDayCounter, > tolerance));*/ > > > // A depo-futures-swap (on Euribor3M) curve > /* std::vector<boost::shared_ptr<RateHelper> > > depoFutSwapInstruments; > depoFutSwapInstruments.push_back(dOND); > depoFutSwapInstruments.push_back(dTND); > depoFutSwapInstruments.push_back(dSND); > depoFutSwapInstruments.push_back(d1w); > depoFutSwapInstruments.push_back(d2w); > depoFutSwapInstruments.push_back(d3w); > depoFutSwapInstruments.push_back(d1m); > depoFutSwapInstruments.push_back(d2m); > depoFutSwapInstruments.push_back(d3m); > depoFutSwapInstruments.push_back(d4m); > depoFutSwapInstruments.push_back(d5m); > depoFutSwapInstruments.push_back(d6m); > depoFutSwapInstruments.push_back(d7m); > depoFutSwapInstruments.push_back(d8m); > depoFutSwapInstruments.push_back(d9m); > depoFutSwapInstruments.push_back(d10m); > depoFutSwapInstruments.push_back(d11m); > depoFutSwapInstruments.push_back(d12m); > depoFutSwapInstruments.push_back(fut1); > depoFutSwapInstruments.push_back(fut2); > depoFutSwapInstruments.push_back(fut3); > depoFutSwapInstruments.push_back(fut4); > depoFutSwapInstruments.push_back(fut5); > depoFutSwapInstruments.push_back(fut6); > depoFutSwapInstruments.push_back(fut7); > depoFutSwapInstruments.push_back(fut8); > depoFutSwapInstruments.push_back(fut9); > depoFutSwapInstruments.push_back(fut10); > depoFutSwapInstruments.push_back(fut11); > depoFutSwapInstruments.push_back(fut12); > depoFutSwapInstruments.push_back(fut13); > depoFutSwapInstruments.push_back(s1s1y); > depoFutSwapInstruments.push_back(s2s1y); > depoFutSwapInstruments.push_back(s3s1y); > depoFutSwapInstruments.push_back(s4s1y); > depoFutSwapInstruments.push_back(s1s2y); > depoFutSwapInstruments.push_back(s2s2y); > depoFutSwapInstruments.push_back(s1s3y); > boost::shared_ptr<YieldTermStructure> depoFutSwapTermStructure( > new PiecewiseYieldCurve<Discount,LogLinear>( > settlementDate, > depoFutSwapInstruments, > termStructureDayCounter, > tolerance));*/ > > > // A depo-futures-swap (on Euribor1M) curve > std::vector<boost::shared_ptr<RateHelper> > depoFutSwapInstruments; > depoFutSwapInstruments.push_back(dOND); > depoFutSwapInstruments.push_back(dTND); > depoFutSwapInstruments.push_back(dSND); > depoFutSwapInstruments.push_back(d1w); > depoFutSwapInstruments.push_back(d2w); > depoFutSwapInstruments.push_back(d3w); > depoFutSwapInstruments.push_back(d1m); > depoFutSwapInstruments.push_back(d2m); > depoFutSwapInstruments.push_back(d3m); > depoFutSwapInstruments.push_back(d4m); > depoFutSwapInstruments.push_back(d5m); > depoFutSwapInstruments.push_back(d6m); > depoFutSwapInstruments.push_back(d7m); > depoFutSwapInstruments.push_back(d8m); > depoFutSwapInstruments.push_back(d9m); > depoFutSwapInstruments.push_back(d10m); > depoFutSwapInstruments.push_back(d11m); > depoFutSwapInstruments.push_back(d12m); > depoFutSwapInstruments.push_back(fut1); > depoFutSwapInstruments.push_back(fut2); > depoFutSwapInstruments.push_back(fut3); > depoFutSwapInstruments.push_back(fut4); > depoFutSwapInstruments.push_back(fut5); > depoFutSwapInstruments.push_back(fut6); > depoFutSwapInstruments.push_back(fut7); > depoFutSwapInstruments.push_back(fut8); > depoFutSwapInstruments.push_back(fut9); > depoFutSwapInstruments.push_back(fut10); > depoFutSwapInstruments.push_back(fut11); > depoFutSwapInstruments.push_back(fut12); > depoFutSwapInstruments.push_back(fut13); > depoFutSwapInstruments.push_back(s2x1s); > depoFutSwapInstruments.push_back(s3x1s); > depoFutSwapInstruments.push_back(s4x1s); > depoFutSwapInstruments.push_back(s5x1s); > depoFutSwapInstruments.push_back(s6x1s); > depoFutSwapInstruments.push_back(s7x1s); > depoFutSwapInstruments.push_back(s8x1s); > depoFutSwapInstruments.push_back(s9x1s); > depoFutSwapInstruments.push_back(s10x1s); > depoFutSwapInstruments.push_back(s11x1s); > depoFutSwapInstruments.push_back(s12x1s); > boost::shared_ptr<YieldTermStructure> depoFutSwapTermStructure( > new PiecewiseYieldCurve<Discount,LogLinear>( > settlementDate, > depoFutSwapInstruments, > termStructureDayCounter, > tolerance)); > > > // A depo-FRA-swap (on Euribor6M) curve > std::vector<boost::shared_ptr<RateHelper> > depoFRASwapInstruments; > depoFRASwapInstruments.push_back(dOND); > depoFRASwapInstruments.push_back(dTND); > depoFRASwapInstruments.push_back(dSND); > depoFRASwapInstruments.push_back(d1w); > depoFRASwapInstruments.push_back(d2w); > depoFRASwapInstruments.push_back(d3w); > depoFRASwapInstruments.push_back(d1m); > depoFRASwapInstruments.push_back(d2m); > depoFRASwapInstruments.push_back(d3m); > depoFRASwapInstruments.push_back(d4m); > depoFRASwapInstruments.push_back(d5m); > depoFRASwapInstruments.push_back(d6m); > depoFRASwapInstruments.push_back(d7m); > depoFRASwapInstruments.push_back(d8m); > depoFRASwapInstruments.push_back(d9m); > depoFRASwapInstruments.push_back(d10m); > depoFRASwapInstruments.push_back(d11m); > depoFRASwapInstruments.push_back(d12m); > > depoFRASwapInstruments.push_back(Tod6M); > depoFRASwapInstruments.push_back(Tom6M); > depoFRASwapInstruments.push_back(Tod3M); > depoFRASwapInstruments.push_back(Tom3M); > depoFRASwapInstruments.push_back(fra1x7); > depoFRASwapInstruments.push_back(fra2x8); > depoFRASwapInstruments.push_back(fra3x9); > depoFRASwapInstruments.push_back(fra4x10); > depoFRASwapInstruments.push_back(fra5x11); > depoFRASwapInstruments.push_back(fra3x6); > depoFRASwapInstruments.push_back(fra6x9); > depoFRASwapInstruments.push_back(fra6x12); > depoFRASwapInstruments.push_back(fra12x18); > depoFRASwapInstruments.push_back(fra18x24); > > depoFRASwapInstruments.push_back(IMMfra1x7); > depoFRASwapInstruments.push_back(IMMfra2x8); > depoFRASwapInstruments.push_back(IMMfra3x9); > depoFRASwapInstruments.push_back(IMMfra4x10); > > depoFRASwapInstruments.push_back(s1y); > depoFRASwapInstruments.push_back(s15M); > depoFRASwapInstruments.push_back(s18M); > depoFRASwapInstruments.push_back(s21M); > depoFRASwapInstruments.push_back(s2y); > depoFRASwapInstruments.push_back(s3y); > depoFRASwapInstruments.push_back(s4y); > depoFRASwapInstruments.push_back(s5y); > depoFRASwapInstruments.push_back(s6y); > depoFRASwapInstruments.push_back(s7y); > depoFRASwapInstruments.push_back(s8y); > depoFRASwapInstruments.push_back(s9y); > depoFRASwapInstruments.push_back(s10y); > depoFRASwapInstruments.push_back(s11y); > depoFRASwapInstruments.push_back(s12y); > depoFRASwapInstruments.push_back(s13y); > depoFRASwapInstruments.push_back(s14y); > depoFRASwapInstruments.push_back(s15y); > depoFRASwapInstruments.push_back(s16y); > depoFRASwapInstruments.push_back(s17y); > depoFRASwapInstruments.push_back(s18y); > depoFRASwapInstruments.push_back(s19y); > depoFRASwapInstruments.push_back(s20y); > depoFRASwapInstruments.push_back(s21y); > depoFRASwapInstruments.push_back(s22y); > depoFRASwapInstruments.push_back(s23y); > depoFRASwapInstruments.push_back(s24y); > depoFRASwapInstruments.push_back(s25y); > depoFRASwapInstruments.push_back(s26y); > depoFRASwapInstruments.push_back(s27y); > depoFRASwapInstruments.push_back(s28y); > depoFRASwapInstruments.push_back(s29y); > depoFRASwapInstruments.push_back(s30y); > depoFRASwapInstruments.push_back(s35y); > depoFRASwapInstruments.push_back(s40y); > depoFRASwapInstruments.push_back(s50y); > depoFRASwapInstruments.push_back(s60y); > boost::shared_ptr<YieldTermStructure> depoFRASwapTermStructure( > new PiecewiseYieldCurve<Discount,LogLinear>( > settlementDate, > depoFRASwapInstruments, > termStructureDayCounter, > tolerance)); > > > // A depo-FRA-swap (on Euribor3M) curve > /* std::vector<boost::shared_ptr<RateHelper> > > depoFRASwapInstruments; > depoFRASwapInstruments.push_back(dOND); > depoFRASwapInstruments.push_back(dTND); > depoFRASwapInstruments.push_back(dSND); > depoFRASwapInstruments.push_back(d1w); > depoFRASwapInstruments.push_back(d2w); > depoFRASwapInstruments.push_back(d3w); > depoFRASwapInstruments.push_back(d1m); > depoFRASwapInstruments.push_back(d2m); > depoFRASwapInstruments.push_back(d3m); > depoFRASwapInstruments.push_back(d4m); > depoFRASwapInstruments.push_back(d5m); > depoFRASwapInstruments.push_back(d6m); > depoFRASwapInstruments.push_back(d7m); > depoFRASwapInstruments.push_back(d8m); > depoFRASwapInstruments.push_back(d9m); > depoFRASwapInstruments.push_back(d10m); > depoFRASwapInstruments.push_back(d11m); > depoFRASwapInstruments.push_back(d12m); > depoFRASwapInstruments.push_back(Tod3M); > depoFRASwapInstruments.push_back(Tom3M); > depoFRASwapInstruments.push_back(fra1x4); > depoFRASwapInstruments.push_back(fra2x5); > depoFRASwapInstruments.push_back(fra3x6); > depoFRASwapInstruments.push_back(fra4x7); > depoFRASwapInstruments.push_back(fra5x8); > depoFRASwapInstruments.push_back(fra6x9); > depoFRASwapInstruments.push_back(s1s1y); > depoFRASwapInstruments.push_back(s2s1y); > depoFRASwapInstruments.push_back(s3s1y); > depoFRASwapInstruments.push_back(s4s1y); > depoFRASwapInstruments.push_back(s1s2y); > depoFRASwapInstruments.push_back(s2s2y); > depoFRASwapInstruments.push_back(s1s3y); > boost::shared_ptr<YieldTermStructure> depoFRASwapTermStructure( > new PiecewiseYieldCurve<Discount,LogLinear>( > settlementDate, > depoFRASwapInstruments, > termStructureDayCounter, > tolerance));*/ > > > // Term structures that will be used for pricing: > // the one used for discounting cash flows > RelinkableHandle<YieldTermStructure> discountingTermStructure; > // the one used for forward rate forecasting > RelinkableHandle<YieldTermStructure> forecastingTermStructure; > > > /********************* > * SWAPS TO BE PRICED * > **********************/ > > // constant nominal 1,000,000 Euro > Real nominal = 1000000.0; > // fixed leg > Frequency fixedLegFrequency = Annual; > BusinessDayConvention fixedLegConvention = Unadjusted; > BusinessDayConvention floatingLegConvention = ModifiedFollowing; > DayCounter fixedLegDayCounter = Thirty360(Thirty360::European); > Rate fixedRate = 0.04; > DayCounter floatingLegDayCounter = Actual360(); > > // floating leg > Frequency floatingLegFrequency = Semiannual; > boost::shared_ptr<IborIndex> euriborIndex( > new > Euribor6M(forecastingTermStructure)); > Spread spread = 0.0; > > Integer lenghtInYears = 5; > VanillaSwap::Type swapType = VanillaSwap::Payer; > > Date maturity = settlementDate + lenghtInYears*Years; > Schedule fixedSchedule(settlementDate, maturity, > Period(fixedLegFrequency), > calendar, fixedLegConvention, > fixedLegConvention, > DateGeneration::Forward, false); > Schedule floatSchedule(settlementDate, maturity, > Period(floatingLegFrequency), > calendar, floatingLegConvention, > floatingLegConvention, > DateGeneration::Forward, false); > VanillaSwap spot5YearSwap(swapType, nominal, > fixedSchedule, fixedRate, fixedLegDayCounter, > floatSchedule, euriborIndex, spread, > floatingLegDayCounter); > > Date fwdStart = calendar.advance(settlementDate, 1, Years); > Date fwdMaturity = fwdStart + lenghtInYears*Years; > Schedule fwdFixedSchedule(fwdStart, fwdMaturity, > Period(fixedLegFrequency), > calendar, fixedLegConvention, > fixedLegConvention, > DateGeneration::Forward, false); > Schedule fwdFloatSchedule(fwdStart, fwdMaturity, > Period(floatingLegFrequency), > calendar, floatingLegConvention, > floatingLegConvention, > DateGeneration::Forward, false); > VanillaSwap oneYearForward5YearSwap(swapType, nominal, > fwdFixedSchedule, fixedRate, fixedLegDayCounter, > fwdFloatSchedule, euriborIndex, spread, > floatingLegDayCounter); > > > /*************** > * SWAP PRICING * > ****************/ > > // utilities for reporting > std::vector<std::string> headers(4); > headers[0] = "term structure"; > headers[1] = "net present value"; > headers[2] = "fair spread"; > headers[3] = "fair fixed rate"; > std::string separator = " | "; > Size width = headers[0].size() + separator.size() > + headers[1].size() + separator.size() > + headers[2].size() + separator.size() > + headers[3].size() + separator.size() - 1; > std::string rule(width, '-'), dblrule(width, '='); > std::string tab(8, ' '); > > // calculations > std::cout << dblrule << std::endl; > std::cout << "5-year market swap-rate = " > << std::setprecision(2) << io::rate(s5yRate->value()) > << std::endl; > std::cout << dblrule << std::endl; > > std::cout << tab << "5-years swap paying " > << io::rate(fixedRate) << std::endl; > std::cout << headers[0] << separator > << headers[1] << separator > << headers[2] << separator > << headers[3] << separator << std::endl; > std::cout << rule << std::endl; > > Real NPV; > Rate fairRate; > Spread fairSpread; > > boost::shared_ptr<PricingEngine> swapEngine( > new > DiscountingSwapEngine(discountingTermStructure)); > > spot5YearSwap.setPricingEngine(swapEngine); > oneYearForward5YearSwap.setPricingEngine(swapEngine); > > // Of course, you're not forced to really use different curves > forecastingTermStructure.linkTo(depoSwapTermStructure); > discountingTermStructure.linkTo(depoSwapTermStructure); > > NPV = spot5YearSwap.NPV(); > fairSpread = spot5YearSwap.fairSpread(); > fairRate = spot5YearSwap.fairRate(); > > std::cout << std::setw(headers[0].size()) > << "depo-swap" << separator; > std::cout << std::setw(headers[1].size()) > << std::fixed << std::setprecision(2) << NPV << separator; > std::cout << std::setw(headers[2].size()) > << io::rate(fairSpread) << separator; > std::cout << std::setw(headers[3].size()) > << io::rate(fairRate) << separator; > std::cout << std::endl; > > > // let's check that the 5 years swap has been correctly re-priced > QL_REQUIRE(std::fabs(fairRate-s5yQuote)<1e-8, > "5-years swap mispriced by " > << io::rate(std::fabs(fairRate-s5yQuote))); > > > forecastingTermStructure.linkTo(depoFutSwapTermStructure); > discountingTermStructure.linkTo(depoFutSwapTermStructure); > > NPV = spot5YearSwap.NPV(); > fairSpread = spot5YearSwap.fairSpread(); > fairRate = spot5YearSwap.fairRate(); > > std::cout << std::setw(headers[0].size()) > << "depo-fut-swap" << separator; > std::cout << std::setw(headers[1].size()) > << std::fixed << std::setprecision(2) << NPV << separator; > std::cout << std::setw(headers[2].size()) > << io::rate(fairSpread) << separator; > std::cout << std::setw(headers[3].size()) > << io::rate(fairRate) << separator; > std::cout << std::endl; > > QL_REQUIRE(std::fabs(fairRate-s5yQuote)<1e-8, > "5-years swap mispriced!"); > > > forecastingTermStructure.linkTo(depoFRASwapTermStructure); > discountingTermStructure.linkTo(depoFRASwapTermStructure); > > NPV = spot5YearSwap.NPV(); > fairSpread = spot5YearSwap.fairSpread(); > fairRate = spot5YearSwap.fairRate(); > > std::cout << std::setw(headers[0].size()) > << "depo-FRA-swap" << separator; > std::cout << std::setw(headers[1].size()) > << std::fixed << std::setprecision(2) << NPV << separator; > std::cout << std::setw(headers[2].size()) > << io::rate(fairSpread) << separator; > std::cout << std::setw(headers[3].size()) > << io::rate(fairRate) << separator; > std::cout << std::endl; > > QL_REQUIRE(std::fabs(fairRate-s5yQuote)<1e-8, > "5-years swap mispriced!"); > > > std::cout << rule << std::endl; > > // now let's price the 1Y forward 5Y swap > > std::cout << tab << "5-years, 1-year forward swap paying " > << io::rate(fixedRate) << std::endl; > std::cout << headers[0] << separator > << headers[1] << separator > << headers[2] << separator > << headers[3] << separator << std::endl; > std::cout << rule << std::endl; > > > forecastingTermStructure.linkTo(depoSwapTermStructure); > discountingTermStructure.linkTo(depoSwapTermStructure); > > NPV = oneYearForward5YearSwap.NPV(); > fairSpread = oneYearForward5YearSwap.fairSpread(); > fairRate = oneYearForward5YearSwap.fairRate(); > > std::cout << std::setw(headers[0].size()) > << "depo-swap" << separator; > std::cout << std::setw(headers[1].size()) > << std::fixed << std::setprecision(2) << NPV << separator; > std::cout << std::setw(headers[2].size()) > << io::rate(fairSpread) << separator; > std::cout << std::setw(headers[3].size()) > << io::rate(fairRate) << separator; > std::cout << std::endl; > > > forecastingTermStructure.linkTo(depoFutSwapTermStructure); > discountingTermStructure.linkTo(depoFutSwapTermStructure); > > NPV = oneYearForward5YearSwap.NPV(); > fairSpread = oneYearForward5YearSwap.fairSpread(); > fairRate = oneYearForward5YearSwap.fairRate(); > > std::cout << std::setw(headers[0].size()) > << "depo-fut-swap" << separator; > std::cout << std::setw(headers[1].size()) > << std::fixed << std::setprecision(2) << NPV << separator; > std::cout << std::setw(headers[2].size()) > << io::rate(fairSpread) << separator; > std::cout << std::setw(headers[3].size()) > << io::rate(fairRate) << separator; > std::cout << std::endl; > > > forecastingTermStructure.linkTo(depoFRASwapTermStructure); > discountingTermStructure.linkTo(depoFRASwapTermStructure); > > NPV = oneYearForward5YearSwap.NPV(); > fairSpread = oneYearForward5YearSwap.fairSpread(); > fairRate = oneYearForward5YearSwap.fairRate(); > > std::cout << std::setw(headers[0].size()) > << "depo-FRA-swap" << separator; > std::cout << std::setw(headers[1].size()) > << std::fixed << std::setprecision(2) << NPV << separator; > std::cout << std::setw(headers[2].size()) > << io::rate(fairSpread) << separator; > std::cout << std::setw(headers[3].size()) > << io::rate(fairRate) << separator; > std::cout << std::endl; > > > // now let's say that the 5-years swap rate goes up to 4.60%. > // A smarter market element--say, connected to a data source-- would > // notice the change itself. Since we're using SimpleQuotes, > // we'll have to change the value manually--which forces us to > // downcast the handle and use the SimpleQuote > // interface. In any case, the point here is that a change in the > // value contained in the Quote triggers a new bootstrapping > // of the curve and a repricing of the swap. > > boost::shared_ptr<SimpleQuote> fiveYearsRate = > boost::dynamic_pointer_cast<SimpleQuote>(s5yRate); > fiveYearsRate->setValue(0.0460); > > std::cout << dblrule << std::endl; > std::cout << "5-year market swap-rate = " > << io::rate(s5yRate->value()) << std::endl; > std::cout << dblrule << std::endl; > > std::cout << tab << "5-years swap paying " > << io::rate(fixedRate) << std::endl; > std::cout << headers[0] << separator > << headers[1] << separator > << headers[2] << separator > << headers[3] << separator << std::endl; > std::cout << rule << std::endl; > > // now get the updated results > forecastingTermStructure.linkTo(depoSwapTermStructure); > discountingTermStructure.linkTo(depoSwapTermStructure); > > NPV = spot5YearSwap.NPV(); > fairSpread = spot5YearSwap.fairSpread(); > fairRate = spot5YearSwap.fairRate(); > > std::cout << std::setw(headers[0].size()) > << "depo-swap" << separator; > std::cout << std::setw(headers[1].size()) > << std::fixed << std::setprecision(2) << NPV << separator; > std::cout << std::setw(headers[2].size()) > << io::rate(fairSpread) << separator; > std::cout << std::setw(headers[3].size()) > << io::rate(fairRate) << separator; > std::cout << std::endl; > > QL_REQUIRE(std::fabs(fairRate-s5yRate->value())<1e-8, > "5-years swap mispriced!"); > > > forecastingTermStructure.linkTo(depoFutSwapTermStructure); > discountingTermStructure.linkTo(depoFutSwapTermStructure); > > NPV = spot5YearSwap.NPV(); > fairSpread = spot5YearSwap.fairSpread(); > fairRate = spot5YearSwap.fairRate(); > > std::cout << std::setw(headers[0].size()) > << "depo-fut-swap" << separator; > std::cout << std::setw(headers[1].size()) > << std::fixed << std::setprecision(2) << NPV << separator; > std::cout << std::setw(headers[2].size()) > << io::rate(fairSpread) << separator; > std::cout << std::setw(headers[3].size()) > << io::rate(fairRate) << separator; > std::cout << std::endl; > > QL_REQUIRE(std::fabs(fairRate-s5yRate->value())<1e-8, > "5-years swap mispriced!"); > > > forecastingTermStructure.linkTo(depoFRASwapTermStructure); > discountingTermStructure.linkTo(depoFRASwapTermStructure); > > NPV = spot5YearSwap.NPV(); > fairSpread = spot5YearSwap.fairSpread(); > fairRate = spot5YearSwap.fairRate(); > > std::cout << std::setw(headers[0].size()) > << "depo-FRA-swap" << separator; > std::cout << std::setw(headers[1].size()) > << std::fixed << std::setprecision(2) << NPV << separator; > std::cout << std::setw(headers[2].size()) > << io::rate(fairSpread) << separator; > std::cout << std::setw(headers[3].size()) > << io::rate(fairRate) << separator; > std::cout << std::endl; > > QL_REQUIRE(std::fabs(fairRate-s5yRate->value())<1e-8, > "5-years swap mispriced!"); > > std::cout << rule << std::endl; > > // the 1Y forward 5Y swap changes as well > > std::cout << tab << "5-years, 1-year forward swap paying " > << io::rate(fixedRate) << std::endl; > std::cout << headers[0] << separator > << headers[1] << separator > << headers[2] << separator > << headers[3] << separator << std::endl; > std::cout << rule << std::endl; > > > forecastingTermStructure.linkTo(depoSwapTermStructure); > discountingTermStructure.linkTo(depoSwapTermStructure); > > NPV = oneYearForward5YearSwap.NPV(); > fairSpread = oneYearForward5YearSwap.fairSpread(); > fairRate = oneYearForward5YearSwap.fairRate(); > > std::cout << std::setw(headers[0].size()) > << "depo-swap" << separator; > std::cout << std::setw(headers[1].size()) > << std::fixed << std::setprecision(2) << NPV << separator; > std::cout << std::setw(headers[2].size()) > << io::rate(fairSpread) << separator; > std::cout << std::setw(headers[3].size()) > << io::rate(fairRate) << separator; > std::cout << std::endl; > > > forecastingTermStructure.linkTo(depoFutSwapTermStructure); > discountingTermStructure.linkTo(depoFutSwapTermStructure); > > NPV = oneYearForward5YearSwap.NPV(); > fairSpread = oneYearForward5YearSwap.fairSpread(); > fairRate = oneYearForward5YearSwap.fairRate(); > > std::cout << std::setw(headers[0].size()) > << "depo-fut-swap" << separator; > std::cout << std::setw(headers[1].size()) > << std::fixed << std::setprecision(2) << NPV << separator; > std::cout << std::setw(headers[2].size()) > << io::rate(fairSpread) << separator; > std::cout << std::setw(headers[3].size()) > << io::rate(fairRate) << separator; > std::cout << std::endl; > > > forecastingTermStructure.linkTo(depoFRASwapTermStructure); > discountingTermStructure.linkTo(depoFRASwapTermStructure); > > NPV = oneYearForward5YearSwap.NPV(); > fairSpread = oneYearForward5YearSwap.fairSpread(); > fairRate = oneYearForward5YearSwap.fairRate(); > > std::cout << std::setw(headers[0].size()) > << "depo-FRA-swap" << separator; > std::cout << std::setw(headers[1].size()) > << std::fixed << std::setprecision(2) << NPV << separator; > std::cout << std::setw(headers[2].size()) > << io::rate(fairSpread) << separator; > std::cout << std::setw(headers[3].size()) > << io::rate(fairRate) << separator; > std::cout << std::endl; > > Real seconds = timer.elapsed(); > Integer hours = int(seconds/3600); > seconds -= hours * 3600; > Integer minutes = int(seconds/60); > seconds -= minutes * 60; > std::cout << " \nRun completed in "; > if (hours > 0) > std::cout << hours << " h "; > if (hours > 0 || minutes > 0) > std::cout << minutes << " m "; > std::cout << std::fixed << std::setprecision(0) > << seconds << " s\n" << std::endl; > > return 0; > > } catch (std::exception& e) { > std::cerr << e.what() << std::endl; > return 1; > } catch (...) { > std::cerr << "unknown error" << std::endl; > return 1; > } > } > > Thanks, waiting for the next steps. > > > > Le Mardi 18 février 2014 0h01, Luigi Ballabio <[hidden email]> a > écrit : > Hello Jeffrey, > sorry, but I don't have the time that it would take to make a demo. > However, I or someone else on the mailing list can help you if you do the > coding work. Do this: > 1) check that you can compile and run the program swapvaluation.cpp in > Examples/Swap. If you have problems, post to the mailing list and explain > them. Someone will help you solve them. > 2) when you have the program running, modify it so that it uses the data in > the paper. You should be able to insert at least the data for deposits, > futures, fra and swaps, because the program already contains the > corresponding code. Again, ask on the mailing list if you have problems. I > will read it, and others will, too. > 3) the above still uses one curve. When it's working, you can add the second > by using OIS quotes. I'll explain when you arrive there. > > In general, it's easier for me and others to help if you do most of the > coding. Otherwise, it becomes difficult to find the time to write a whole > program. > > Hope this helps, > Luigi > > > > > On Sun, Feb 16, 2014 at 2:47 PM, Mbongo Nkounga Jeffrey Ted Johnattan > <[hidden email]> wrote: > > Dear Luigi, > > I have tried to figure out your instructions, I am still confused. Could > please send me a demo, I mean, using the data provided in the attached > paper, could you please send me a demo that will help to understand how to > build the curves in this paper. > > I am very confused and desperate. > > Thanks in advance. > > > Le Vendredi 14 février 2014 17h33, Mbongo Nkounga Jeffrey Ted Johnattan > <[hidden email]> a écrit : > Dear Luigi, > > I have tried to figured out your instructions, I am still not confused. > Could please send me a demo, I mean using the data provided in the attached > paper, could you please send me a demo that will help to build the curves > in this paper. > I am very confused and desperate. > > Thanks in advance. > > > > > > > Le Samedi 1 février 2014 17h28, Luigi Ballabio <[hidden email]> a > écrit : > There are several pieces: > a) the curve implementation is in > <ql/termstructures/yield/piecewiseyieldcurve.hpp>. > b) the helpers used to bootstrap it on deposit, futures and swap rates > are in <ql/termstructures/yield/ratehelpers.hpp> and the corresponding > cpp; > c) the helper used to bootstrap it on OIS rates is in > <ql/termstructures/yield/oisratehelper.hpp> and the corresponding cpp. > > There's a few examples of putting them together; one is the example > program in Examples/Swap/swapvaluation.cpp that bootstraps a curve > over deposits, futures and swaps and uses it to price a few swaps. > It's a bit dated, so it doesn't select the rates as explained in > Ametrano and Bianchetti, but you can try to change it so that it uses > the appropriate rates. Other examples of bootstrap are in the test > suite, especially test-suite/piecewiseyieldcurve.cpp and > test-suite/overnightindexedswap.cpp. > > Hope this helps getting you started. > > Luigi > > > On Wed, Jan 29, 2014 at 10:41 PM, Mbongo Nkounga Jeffrey Ted Johnattan > <[hidden email]> wrote: >> Dear Luigi, >> Could you please give me the path to access the implementation in the >> latest >> release ? >> Thanks. >> >> >> Le Mercredi 29 janvier 2014 23h13, Kirill Shemyakin <[hidden email]> >> a >> écrit : >> Hi Luigi! >> Btw, is there any curve building algorithm for illiquid bonds? >> Thanks! >> Cheers, >> Kirill >> Am 29.01.2014 20:41 schrieb "Luigi Ballabio" <[hidden email]>: >> >> Hello, >> there's no need to get that particular revision. The >> implementation is still available in the latest release. >> >> Luigi >> >> On Wed, Jan 29, 2014 at 5:31 PM, Mbongo Nkounga Jeffrey Ted Johnattan >> <[hidden email]> wrote: >>> Dear all, >>> >>> I am working on Curves, I would like to download and test the >>> implementation >>> done by FERDINANDO M. AMETRANO AND MARCO BIANCHETTI in their paper >>> ''BOOTSTRAPPING THE ILLIQUIDITY MULTIPLE YIELD CURVES CONSTRUCTION FOR >>> MARKET COHERENT FORWARD RATES ESTIMATION'' >>> >>> The paper states that the code can be found at revision 15931 in the >>> QuantLib SVN repository. However, at the beginning of June 2013, the >>> QuantLib project migrated its code repository to Git and I don't know how >>> to >>> access it now. >>> >>> Please can you help me? >>> >>> Thanks in advance! >>> >>> >>> Regards, >>> >>> Jeffrey >>> >>> >>> >>> ------------------------------------------------------------------------------ >>> WatchGuard Dimension instantly turns raw network data into actionable >>> security intelligence. It gives you real-time visual feedback on key >>> security issues and trends. 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Skip the complicated setup - simply import >> a virtual appliance and go from zero to informed in seconds. >> >> http://pubads.g.doubleclick.net/gampad/clk?id=123612991&iu=/4140/ostg.clktrk >> _______________________________________________ >> QuantLib-users mailing list >> [hidden email] >> https://lists.sourceforge.net/lists/listinfo/quantlib-users >> >> >> > > > > -- > <https://implementingquantlib.blogspot.com> > <https://twitter.com/lballabio> > > > > > > > > -- > <https://implementingquantlib.blogspot.com> > <https://twitter.com/lballabio> > > -- <https://implementingquantlib.blogspot.com> <https://twitter.com/lballabio> ------------------------------------------------------------------------------ Managing the Performance of Cloud-Based Applications Take advantage of what the Cloud has to offer - Avoid Common Pitfalls. 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