DepositRateHelper Inconsistency
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Hi again,
I am trying to set the stub rate (connecting the deposits and futures portion of my yield curve) and am experiencing an inconsistency with the DepositRateHelper class. My method of setting the stub rate is to a) find the number of business days between the settlement date and the immDate via Integer daysToIMMdate = calendar.businessDaysBetween(settlement,imm); b) construct an associated DepositRateHelper using a period of daysToIMMdate*Days So far this works perfectly except in the case where daysToIMMDate equals the number of days in the current month. Please see some example code at the end of this email (based on piecewiseyieldcurve.cpp in the test suite). The output from it should be as follows: Settlement Date is February 5th, 2009 1 Weeks from then is: February 12th, 2009 1 Months from then is: March 5th, 2009 29 (business) Days from then is: March 18th, 2009 Settlement Date is February 6th, 2009 1 Weeks from then is: February 13th, 2009 1 Months from then is: March 6th, 2009 28 (business) Days from then is: March 6th, 2009 Basically, the DepositRateHelper interprets the 28 days as a monthly rate and, of course, the yield curve bootstrapping crashes. Can someone suggest a fix or an alternative approach? Many thanks, - Troy ------------------- EXAMPLE CODE ------------------- #include <ql/quantlib.hpp> #include <boost/timer.hpp> #include <boost/shared_ptr.hpp> #include <boost/config.hpp> #include <iostream> #include <iomanip> #include <fstream> #include <string> #include <vector> #include <ql/time/imm.hpp> #include <ql/math/interpolations/linearinterpolation.hpp> #define LENGTH(a) (sizeof(a)/sizeof(a[0])) using namespace QuantLib; using namespace std; struct Datum { Integer n; TimeUnit units; Rate rate; }; struct CommonVars2 { // global variables Calendar calendar; Natural settlementDays; Date settlement; Size deposits; std::vector<boost::shared_ptr<SimpleQuote> > rates; std::vector<boost::shared_ptr<RateHelper> > instruments; std::vector<Schedule> schedules; boost::shared_ptr<YieldTermStructure> termStructure; // cleanup SavedSettings backup; // setup CommonVars2(Date today) { // data Datum depositData[] = { { 1, Weeks, 4.559 }, { 1, Months, 4.581 } }; calendar = UnitedKingdom(); settlementDays = 0; Settings::instance().evaluationDate() = today; settlement = calendar.advance(today,settlementDays,Days); deposits = LENGTH(depositData)+1; // market elements rates = std::vector<boost::shared_ptr<SimpleQuote> >(deposits); for (Size i=0; i<deposits-1; i++) { rates[i] = boost::shared_ptr<SimpleQuote>( new SimpleQuote(depositData[i].rate/100)); } Rate stubRate = 3.0; for (Size i=0; i<deposits-1; i++) { rates[i] = boost::shared_ptr<SimpleQuote>( new SimpleQuote(depositData[i].rate/100)); } // rate helpers instruments = std::vector<boost::shared_ptr<RateHelper> >(deposits); boost::shared_ptr<IborIndex> LIBORIndex(new GBPLibor(Period(3,Months))); for (Size i=0; i<deposits-1; i++) { Handle<Quote> r(rates[i]); instruments[i] = boost::shared_ptr<RateHelper>(new DepositRateHelper(r, depositData[i].n*depositData[i].units, LIBORIndex->fixingDays(), calendar, LIBORIndex->businessDayConvention(), LIBORIndex->endOfMonth(), LIBORIndex->dayCounter())); } Date imm = IMM::nextDate(settlement); Integer daysToIMMdate = calendar.businessDaysBetween(settlement,imm); Handle<Quote> r(rates[deposits-1]); instruments[deposits-1] = boost::shared_ptr<RateHelper>(new DepositRateHelper(r, daysToIMMdate*Days, LIBORIndex->fixingDays(), calendar, LIBORIndex->businessDayConvention(), LIBORIndex->endOfMonth(), LIBORIndex->dayCounter())); cout << "Settlement Date is " << settlement << endl; for (Size j=0;j<instruments.size()-1;j++) cout << depositData[j].n << " " << depositData[j].units << " from then is: \t\t\t" << instruments[j]->latestDate() << endl; Size j = instruments.size()-1; cout << daysToIMMdate << " (business) " << Days << " from then is: \t" << instruments[j]->latestDate() << endl; } }; int main(){ CommonVars2 vars2(Date(5,February,2009)); cout << endl; CommonVars2 vars3(Date(6,February,2009)); return 0; } ------------------------------------------------------------------------------ Come build with us! The BlackBerry® Developer Conference in SF, CA is the only developer event you need to attend this year. Jumpstart your developing skills, take BlackBerry mobile applications to market and stay ahead of the curve. Join us from November 9-12, 2009. Register now! http://p.sf.net/sfu/devconf _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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Unsurprisingly, there was no inconsistency at all -- the 'problem'
concerned just my limited understanding of the interestrateindex class. As perhaps you all know, the normalize() function in the Period class changes any multiple of 7 days into the corresponding number of weeks. I found this to be problematic in the setting of my stub rate via the DepositRateHelper class. Do you think a case could be made for a StubRateHelper class for connecting the deposits and futures portions of the curve in yield curve bootstapping? If so, we would want to avoid using the tenor_.normalize() function in the instantiation of the interestratehelper class. Has anyone else came across this issue and/or thought about this at all? Thanks, - Troy > Hi again, > > I am trying to set the stub rate (connecting the deposits and futures > portion of my yield curve) and am experiencing an inconsistency with the > DepositRateHelper class. > > My method of setting the stub rate is to > a) find the number of business days between the settlement date and the > immDate via > > Integer daysToIMMdate = calendar.businessDaysBetween(settlement,imm); > > b) construct an associated DepositRateHelper using a period of > daysToIMMdate*Days > > So far this works perfectly except in the case where daysToIMMDate equals > the number of days in the current month. Please see some example code at > the end of this email (based on piecewiseyieldcurve.cpp in the test > suite). The output from it should be as follows: > > > Settlement Date is February 5th, 2009 > 1 Weeks from then is: February 12th, 2009 > 1 Months from then is: March 5th, 2009 > 29 (business) Days from then is: March 18th, 2009 > > Settlement Date is February 6th, 2009 > 1 Weeks from then is: February 13th, 2009 > 1 Months from then is: March 6th, 2009 > 28 (business) Days from then is: March 6th, 2009 > > > Basically, the DepositRateHelper interprets the 28 days as a monthly rate > and, of course, the yield curve bootstrapping crashes. > > Can someone suggest a fix or an alternative approach? > > Many thanks, > > - Troy > > ------------------- EXAMPLE CODE ------------------- > > #include <ql/quantlib.hpp> > #include <boost/timer.hpp> > #include <boost/shared_ptr.hpp> > #include <boost/config.hpp> > #include <iostream> > #include <iomanip> > #include <fstream> > #include <string> > #include <vector> > #include <ql/time/imm.hpp> > #include <ql/math/interpolations/linearinterpolation.hpp> > #define LENGTH(a) (sizeof(a)/sizeof(a[0])) > > using namespace QuantLib; > using namespace std; > > > struct Datum { > Integer n; > TimeUnit units; > Rate rate; > }; > > > struct CommonVars2 { > // global variables > Calendar calendar; > Natural settlementDays; > Date settlement; > > Size deposits; > std::vector<boost::shared_ptr<SimpleQuote> > rates; > std::vector<boost::shared_ptr<RateHelper> > instruments; > std::vector<Schedule> schedules; > boost::shared_ptr<YieldTermStructure> termStructure; > > // cleanup > SavedSettings backup; > > // setup > CommonVars2(Date today) { > // data > Datum depositData[] = { > { 1, Weeks, 4.559 }, > { 1, Months, 4.581 } > }; > > calendar = UnitedKingdom(); > settlementDays = 0; > Settings::instance().evaluationDate() = today; > settlement = calendar.advance(today,settlementDays,Days); > > deposits = LENGTH(depositData)+1; > > // market elements > rates = std::vector<boost::shared_ptr<SimpleQuote> >(deposits); > for (Size i=0; i<deposits-1; i++) { > rates[i] = boost::shared_ptr<SimpleQuote>( > new > SimpleQuote(depositData[i].rate/100)); > } > > Rate stubRate = 3.0; > for (Size i=0; i<deposits-1; i++) { > rates[i] = boost::shared_ptr<SimpleQuote>( > new > SimpleQuote(depositData[i].rate/100)); > } > > // rate helpers > instruments = std::vector<boost::shared_ptr<RateHelper> >(deposits); > > boost::shared_ptr<IborIndex> LIBORIndex(new > GBPLibor(Period(3,Months))); > for (Size i=0; i<deposits-1; i++) { > Handle<Quote> r(rates[i]); > instruments[i] = boost::shared_ptr<RateHelper>(new > DepositRateHelper(r, > depositData[i].n*depositData[i].units, > LIBORIndex->fixingDays(), calendar, > LIBORIndex->businessDayConvention(), > LIBORIndex->endOfMonth(), > LIBORIndex->dayCounter())); > } > Date imm = IMM::nextDate(settlement); > Integer daysToIMMdate = calendar.businessDaysBetween(settlement,imm); > Handle<Quote> r(rates[deposits-1]); > instruments[deposits-1] = boost::shared_ptr<RateHelper>(new > DepositRateHelper(r, daysToIMMdate*Days, > LIBORIndex->fixingDays(), calendar, > LIBORIndex->businessDayConvention(), > LIBORIndex->endOfMonth(), > LIBORIndex->dayCounter())); > cout << "Settlement Date is " << settlement << endl; > for (Size j=0;j<instruments.size()-1;j++) > cout << depositData[j].n << " " > << depositData[j].units << " from then is: \t\t\t" > << instruments[j]->latestDate() << endl; > Size j = instruments.size()-1; > cout << daysToIMMdate << " (business) " > << Days << " from then is: \t" > << instruments[j]->latestDate() << endl; > } > > }; > > > int main(){ > CommonVars2 vars2(Date(5,February,2009)); > cout << endl; > CommonVars2 vars3(Date(6,February,2009)); > return 0; > } > > ------------------------------------------------------------------------------ Come build with us! The BlackBerry® Developer Conference in SF, CA is the only developer event you need to attend this year. Jumpstart your developing skills, take BlackBerry mobile applications to market and stay ahead of the curve. Join us from November 9-12, 2009. Register now! http://p.sf.net/sfu/devconf _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
Re: DepositRateHelper Inconsistency
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On Fri, 2009-09-18 at 18:03 -0700, [hidden email] wrote:
> As perhaps you all know, the normalize() function in the Period class > changes any multiple of 7 days into the corresponding number of weeks. Does it now? Hmm. We should have some way to distinguish between calendar days and business days. We'll have to think about it in some future release... Luigi -- Hanlon's Razor: Never attribute to malice that which is adequately explained by stupidity. ------------------------------------------------------------------------------ Come build with us! The BlackBerry® Developer Conference in SF, CA is the only developer event you need to attend this year. Jumpstart your developing skills, take BlackBerry mobile applications to market and stay ahead of the curve. Join us from November 9-12, 2009. Register now! http://p.sf.net/sfu/devconf _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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