Futures Implied Yield
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Hello. I am attempting to compute the implied yield of a treasury futures contract, but I really have no idea where to start. For example, i'm unclear if I should be using FuturesRateHelper or ForwardRate and applying my own convexity correction somehow. Can anyone offer suggestions? The ideal case would be an example starting with only the contract price, tenor, and expiration.
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The Treasury Bond Basis: An in-Depth Analysis for Hedgers, Speculators, and Arbitrageurs (McGraw-Hill Library of Investment and Finance) [Hardcover]On Fri, Sep 3, 2010 at 10:47 AM, Andrew Hill <[hidden email]> wrote:
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In reply to this post by digiplant
I too am having similar troubles....... Using PeicewiseYieldCurve, I'm trying to construct a 3 month USD discount curve from the first 8 eurusd contracts. This curve is being built from the 8 Futures Objects I have built using the FuturesRateHelper2. The problem is if I adjust the Convexity within the FuturesRateHelper2 from 0.00 (as per the sample spreadsheet "YieldCurveBootstrapping"), the PiecewiseYieldCurveDates and PiecewiseYieldCurveData from the PiecewiseYieldCurve changes to NUM!....... Im inserting the convexity as the Implied Volatility for each contract. Also a point to note, is that the PiecewiseYieldCurveDates returns the wrong Future settlement dates.... The first two Sep10 and Dec10 are correct as the 3rd Wednesday,however March and June show Tuesday and Thursday respectively. QuantLib XL returns the correct dates when I use QLIMMDate on the same IMM code, so why does the PiecewiseYieldCurveDates return the wrong array of dates from the constructed YieldCurve thats built from the FutureRatesHelper Objects? Cheers David digiplant wrote: > > Hello. I am attempting to compute the implied yield of a treasury futures > contract, but I really have no idea where to start. For example, i'm > unclear if I should be using FuturesRateHelper or ForwardRate and applying > my own convexity correction somehow. Can anyone offer suggestions? The > ideal case would be an example starting with only the contract price, > tenor, > and expiration. > > ------------------------------------------------------------------------------ > This SF.net Dev2Dev email is sponsored by: > > Show off your parallel programming skills. > Enter the Intel(R) Threading Challenge 2010. > http://p.sf.net/sfu/intel-thread-sfd > _______________________________________________ > QuantLib-users mailing list > [hidden email] > https://lists.sourceforge.net/lists/listinfo/quantlib-users > > -- View this message in context: http://old.nabble.com/Futures-Implied-Yield-tp29615649p29654150.html Sent from the quantlib-users mailing list archive at Nabble.com. ------------------------------------------------------------------------------ This SF.net Dev2Dev email is sponsored by: Show off your parallel programming skills. Enter the Intel(R) Threading Challenge 2010. http://p.sf.net/sfu/intel-thread-sfd _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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