Help with QuantlibXL

[Graham Smale]

This is a re-post on request from Luigi Ballabio.

I have installed QuantlibXL and have been testing the bootstrapping process. I have the following problems;
1. I used the installed example "YC_SwapDemo.xls" as the base
2. It was re-built for the South African swap market. In South Africa we do not have ED futures so I have used a FRA strip to build equivalent Depos out to 12M. This is used as input to the yield curve builder with swaps from 2Y onwards. I was forced to use the "EURIBOR" object to store the reset history for JIBAR (Johannesburg Interbank Average Rate), the South African equivalent for EURIBOR (I could find no way of creating another object for JIBAR)
3. The system seems to bootstrap OK (no error messages) but the discount factors differ from spreadsheets I have built myself.
4. I checked the discount factors by pricing a swap from the derived yield curve (same conventions as used in the input) and observe that the fair value of the swaps for the node points in the yield curve builder do  not match the original inputs, a major problem.

I am not sure where to go from here. My spreadsheet is attached. Can anybody help?

--
Graham Smale
Gordian Risk Advisors
[hidden email]
[phone]

[eric ehlers]

Hi Graham,

The list doesn't support attachments, please send me the file directly
and I'll have a look.

Thanks,
Eric

On 11/25/06, Graham Smale <[hidden email]> wrote:

> This is a re-post on request from Luigi Ballabio.
>
> I have installed QuantlibXL and have been testing the bootstrapping process.
> I have the following problems;
> 1. I used the installed example "YC_SwapDemo.xls" as the base
> 2. It was re-built for the South African swap market. In South Africa we do
> not have ED futures so I have used a FRA strip to build equivalent Depos out
> to 12M. This is used as input to the yield curve builder with swaps from 2Y
> onwards. I was forced to use the "EURIBOR" object to store the reset history
> for JIBAR (Johannesburg Interbank Average Rate), the South African
> equivalent for EURIBOR (I could find no way of creating another object for
> JIBAR)
> 3. The system seems to bootstrap OK (no error messages) but the discount
> factors differ from spreadsheets I have built myself.
> 4. I checked the discount factors by pricing a swap from the derived yield
> curve (same conventions as used in the input) and observe that the fair
> value of the swaps for the node points in the yield curve builder do  not
> match the original inputs, a major problem.
>
> I am not sure where to go from here. My spreadsheet is attached. Can anybody
> help?
>
> --
> Graham Smale
> Gordian Risk Advisors
> [hidden email]
> [phone]
> -------------------------------------------------------------------------
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[eric ehlers]

Hello

Apologies for the delay in getting back to you.

I've had a look at the workbook, unfortunately I don't understand the
analytics well enough to offer a solution.

I could produce a little C++ program that replicates the behavior of
your workbook.  This would remove Excel from the equation and could
perhaps be used to spot the problem by someone who understands the
analytics better than me.

Would you like me to proceed?  Is there anyone here who could take a
look at the program?

Thanks,
Eric

On 11/25/06, Graham Smale <[hidden email]> wrote:

> This is a re-post on request from Luigi Ballabio.
>
> I have installed QuantlibXL and have been testing the bootstrapping process.
> I have the following problems;
> 1. I used the installed example "YC_SwapDemo.xls" as the base
> 2. It was re-built for the South African swap market. In South Africa we do
> not have ED futures so I have used a FRA strip to build equivalent Depos out
> to 12M. This is used as input to the yield curve builder with swaps from 2Y
> onwards. I was forced to use the "EURIBOR" object to store the reset history
> for JIBAR (Johannesburg Interbank Average Rate), the South African
> equivalent for EURIBOR (I could find no way of creating another object for
> JIBAR)
> 3. The system seems to bootstrap OK (no error messages) but the discount
> factors differ from spreadsheets I have built myself.
> 4. I checked the discount factors by pricing a swap from the derived yield
> curve (same conventions as used in the input) and observe that the fair
> value of the swaps for the node points in the yield curve builder do  not
> match the original inputs, a major problem.
>
> I am not sure where to go from here. My spreadsheet is attached. Can anybody
> help?
>
> --
> Graham Smale
> Gordian Risk Advisors
> [hidden email]
> [phone]
> -------------------------------------------------------------------------
> Take Surveys. Earn Cash. Influence the Future of IT
> Join SourceForge.net's Techsay panel and you'll get the chance to share your
> opinions on IT & business topics through brief surveys - and earn cash
> http://www.techsay.com/default.php?page=join.php&p=sourceforge&CID=DEVDEV
>
> _______________________________________________
> QuantLib-users mailing list
> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>
>
>