EONIA swaps

[Plamen Neykov]

Hi All,

I would like to use QuantLib to price EONIA swaps - is there any support
for this structure?

Thanks,
Plamen

[Luigi Ballabio]

On 04/19/05 10:59:38, Plamen Neykov wrote:
>
> I would like to use QuantLib to price EONIA swaps - is there any support
> for this structure?

No, there isn't---sorry.

Luigi

----------------------------------------

For every problem there is one solution which is simple, neat, and wrong.
-- H. L. Mencken

[Plamen Neykov]

Ok - No problem - I would try then to implement it by my self (just as a
prototype). My naive way would be as follows:
1) extend the schedule class to cope with daily frequency.
2) create an EONIACoupon type (derived from FloatingRateCoupon)
3) create an EONIAIndex derived from Index
4) create a EONIARateHelper in order to be able to use EONIA quotes to
bootstrap the curve
5) create an appropriate Instrument (EONIASwap)

Unfortunately it does not cover all possible overnight index instruments,
but it can be used as first cut prototype.
What do you think?


Thanks,
Plamen

>
> On 04/19/05 10:59:38, Plamen Neykov wrote:
>>
>> I would like to use QuantLib to price EONIA swaps - is there any support
>> for this structure?
>
> No, there isn't---sorry.
>
> Luigi
>
> ----------------------------------------
>
> For every problem there is one solution which is simple, neat, and wrong.
> -- H. L. Mencken
>
>

[Luigi Ballabio]

On 04/19/05 13:11:01, Plamen Neykov wrote:

> Ok - No problem - I would try then to implement it by my self (just as a
> prototype). My naive way would be as follows:
> 1) extend the schedule class to cope with daily frequency.
> 2) create an EONIACoupon type (derived from FloatingRateCoupon)
> 3) create an EONIAIndex derived from Index
> 4) create a EONIARateHelper in order to be able to use EONIA quotes to
> bootstrap the curve
> 5) create an appropriate Instrument (EONIASwap)
>
> Unfortunately it does not cover all possible overnight index instruments,
> but it can be used as first cut prototype.
> What do you think?

Yes, that should work. Point 1) might be the trickiest...

Later,
        Luigi

----------------------------------------

Don't say "yes" until I finish talking.
-- Darryl F. Zanuck