How to construct a curve from forward rates by using function qlInterpolatedYieldCurve ?

[cheng li]

Hi All,

 

Yesterday I asked a question on serializing in Quantlibxl. That problem is resolved. Thank you for help from Bojan and Ballabio. Now another problem arised. Since we are planning to do some forward rates shifts scenario analysis, I need to construct a curve from forward rates. My original plan was as follows: BY using the function qlYieldTSForwardRate, I got the forward rates corresponding to a specific period from my calibrated curve. After that, I fed the dates vector and forward rates vector to the function qlInterpolatedYieldCurve which seemed meet my purpose. However at this stage, I found one problem. When I got the forward rate from the function qlYieldTSForwardRate, the compounding info was offered by me. But in the signature of qlInterpolatedYieldCurve, there is no compounding parameter for user to enter. Does that mean the function has a default compounding rule which can’t be changed by the user? Or the function will try to get the compounding info from somewhere automatically?    

 

Regards,

Cheng

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[Ballabio Gerardo-4]

In fact, when you build a curve with TraitsID=ForwardRate, I guess it means INSTANTANEOUS forward rates. I’m not 100% sure of that, but that’s what I seem to understand from my tests (QuantLib developers please confirm?). This means you can’t use the forward rates that you obtain from qlYieldTSForwardRate to rebuild a new curve identical to the original.

 

So far as I can see there’s no function in QuantLibXL to extract instantaneous forward rates. This is perhaps a missing feature that should be added.

 

Gerardo

 

 

Da: Cheng Li [mailto:[hidden email]]
Inviato: venerdì 10 agosto 2012 14.22
A: [hidden email]
Oggetto: [Quantlib-users] How to construct a curve from forward rates byusing function qlInterpolatedYieldCurve ?

 

Hi All,

 

Yesterday I asked a question on serializing in Quantlibxl. That problem is resolved. Thank you for help from Bojan and Ballabio. Now another problem arised. Since we are planning to do some forward rates shifts scenario analysis, I need to construct a curve from forward rates. My original plan was as follows: BY using the function qlYieldTSForwardRate, I got the forward rates corresponding to a specific period from my calibrated curve. After that, I fed the dates vector and forward rates vector to the function qlInterpolatedYieldCurve which seemed meet my purpose. However at this stage, I found one problem. When I got the forward rate from the function qlYieldTSForwardRate, the compounding info was offered by me. But in the signature of qlInterpolatedYieldCurve, there is no compounding parameter for user to enter. Does that mean the function has a default compounding rule which can’t be changed by the user? Or the function will try to get the compounding info from somewhere automatically?    

 

Regards,

Cheng

Banca Profilo S.p.A.
Corso Italia, 49 - 20122 Milano - Tel. [phone], Fax [phone]
Capitale Sociale Euro 136.794.106,00 i.v.
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[Ballabio Gerardo-4]

Thinking again, I guess there is a way.

If you build the original PiecewiseYieldCurve with TraitsID=ForwardRate, the curve points will be represented internally as forward rates, and thus you can get them via qlPiecewiseYieldCurveData.

 

Gerardo

 

 

Da: Ballabio Gerardo [mailto:[hidden email]]
Inviato: venerdì 10 agosto 2012 16.03
A: [hidden email]
Oggetto: [Quantlib-users] R: How to construct a curve from forward ratesbyusing function qlInterpolatedYieldCurve ?

 

In fact, when you build a curve with TraitsID=ForwardRate, I guess it means INSTANTANEOUS forward rates. I’m not 100% sure of that, but that’s what I seem to understand from my tests (QuantLib developers please confirm?). This means you can’t use the forward rates that you obtain from qlYieldTSForwardRate to rebuild a new curve identical to the original.

 

So far as I can see there’s no function in QuantLibXL to extract instantaneous forward rates. This is perhaps a missing feature that should be added.

 

Gerardo

 

 

Da: Cheng Li [[hidden email]]
Inviato: venerdì 10 agosto 2012 14.22
A: [hidden email]
Oggetto: [Quantlib-users] How to construct a curve from forward rates byusing function qlInterpolatedYieldCurve ?

 

Hi All,

 

Yesterday I asked a question on serializing in Quantlibxl. That problem is resolved. Thank you for help from Bojan and Ballabio. Now another problem arised. Since we are planning to do some forward rates shifts scenario analysis, I need to construct a curve from forward rates. My original plan was as follows: BY using the function qlYieldTSForwardRate, I got the forward rates corresponding to a specific period from my calibrated curve. After that, I fed the dates vector and forward rates vector to the function qlInterpolatedYieldCurve which seemed meet my purpose. However at this stage, I found one problem. When I got the forward rate from the function qlYieldTSForwardRate, the compounding info was offered by me. But in the signature of qlInterpolatedYieldCurve, there is no compounding parameter for user to enter. Does that mean the function has a default compounding rule which can’t be changed by the user? Or the function will try to get the compounding info from somewhere automatically?    

 

Regards,

Cheng

Banca Profilo S.p.A.

Corso Italia, 49 - 20122 Milano - Tel. [phone], Fax [phone]

Capitale Sociale Euro 136.794.106,00 i.v.

Iscrizione al Registro Imprese di Milano, C.F. e P.IVA 09108700155 - [hidden email]

Iscritta all’Albo delle Banche e dei Gruppi bancari

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Banca Profilo S.p.A.
Corso Italia, 49 - 20122 Milano - Tel. [phone], Fax [phone]
Capitale Sociale Euro 136.794.106,00 i.v.
Iscrizione al Registro Imprese di Milano, C.F. e P.IVA 09108700155 - [hidden email]
Iscritta all’Albo delle Banche e dei Gruppi bancari
Aderente al Fondo Interbancario di Tutela dei depositi
Aderente al Conciliatore Bancario Finanziario e all’Arbitro Bancario Finanziario
Appartenente al Gruppo bancario Banca Profilo e soggetta all’attività di direzione e coordinamento di Arepo BP S.p.A.


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[Ferdinando M. Ametrano-3]

On Fri, Aug 10, 2012 at 4:03 PM, Ballabio Gerardo
<[hidden email]> wrote:
> In fact, when you build a curve with TraitsID=ForwardRate, I guess it means
> INSTANTANEOUS forward rates. I’m not 100% sure of that, but that’s what I
> seem to understand from my tests (QuantLib developers please confirm?).

confirmed

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[cheng li]

Yes, that is true. I am now already building curve using forward rate setting. It really works. I succeed in reconstruct my calibrated curve. Thanks for your advice.

 

发件人: Ballabio Gerardo [mailto:[hidden email]]
发送时间: 2012年8月10日 22:18
收件人: [hidden email]
主题: [Quantlib-users] R: R: How to construct a curve from forward ratesbyusing function qlInterpolatedYieldCurve ?

 

Thinking again, I guess there is a way.

If you build the original PiecewiseYieldCurve with TraitsID=ForwardRate, the curve points will be represented internally as forward rates, and thus you can get them via qlPiecewiseYieldCurveData.

 

Gerardo                                                                                        

 

 

Da: Ballabio Gerardo [mailto:[hidden email]]
Inviato: venerdì 10 agosto 2012 16.03
A: [hidden email]
Oggetto: [Quantlib-users] R: How to construct a curve from forward ratesbyusing function qlInterpolatedYieldCurve ?

 

In fact, when you build a curve with TraitsID=ForwardRate, I guess it means INSTANTANEOUS forward rates. I’m not 100% sure of that, but that’s what I seem to understand from my tests (QuantLib developers please confirm?). This means you can’t use the forward rates that you obtain from qlYieldTSForwardRate to rebuild a new curve identical to the original.

 

So far as I can see there’s no function in QuantLibXL to extract instantaneous forward rates. This is perhaps a missing feature that should be added.

 

Gerardo

 

 

Da: Cheng Li [[hidden email]]
Inviato: venerdì 10 agosto 2012 14.22
A: [hidden email]
Oggetto: [Quantlib-users] How to construct a curve from forward rates byusing function qlInterpolatedYieldCurve ?

 

Hi All,

 

Yesterday I asked a question on serializing in Quantlibxl. That problem is resolved. Thank you for help from Bojan and Ballabio. Now another problem arised. Since we are planning to do some forward rates shifts scenario analysis, I need to construct a curve from forward rates. My original plan was as follows: BY using the function qlYieldTSForwardRate, I got the forward rates corresponding to a specific period from my calibrated curve. After that, I fed the dates vector and forward rates vector to the function qlInterpolatedYieldCurve which seemed meet my purpose. However at this stage, I found one problem. When I got the forward rate from the function qlYieldTSForwardRate, the compounding info was offered by me. But in the signature of qlInterpolatedYieldCurve, there is no compounding parameter for user to enter. Does that mean the function has a default compounding rule which can’t be changed by the user? Or the function will try to get the compounding info from somewhere automatically?    

 

Regards,

Cheng

Banca Profilo S.p.A.

Corso Italia, 49 - 20122 Milano - Tel. [phone], Fax [phone]

Capitale Sociale Euro 136.794.106,00 i.v.

Iscrizione al Registro Imprese di Milano, C.F. e P.IVA 09108700155 - [hidden email]

Iscritta all’Albo delle Banche e dei Gruppi bancari

Aderente al Fondo Interbancario di Tutela dei depositi

Aderente al Conciliatore Bancario Finanziario e all’Arbitro Bancario Finanziario

Appartenente al Gruppo bancario Banca Profilo e soggetta all’attività di direzione e coordinamento di Arepo BP S.p.A.

DISCLAIMER:

The information transmitted may contain confidential and/or privileged material.

Any review, retransmission, dissemination or other use of, or taking of any action in reliance upon, 

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If you received this in error, please contact the sender and delete the material from any computer.

Banca Profilo S.p.A.

Corso Italia, 49 - 20122 Milano - Tel. [phone], Fax [phone]

Capitale Sociale Euro 136.794.106,00 i.v.

Iscrizione al Registro Imprese di Milano, C.F. e P.IVA 09108700155 - [hidden email]

Iscritta all’Albo delle Banche e dei Gruppi bancari

Aderente al Fondo Interbancario di Tutela dei depositi

Aderente al Conciliatore Bancario Finanziario e all’Arbitro Bancario Finanziario

Appartenente al Gruppo bancario Banca Profilo e soggetta all’attività di direzione e coordinamento di Arepo BP S.p.A.

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The information transmitted may contain confidential and/or privileged material.

Any review, retransmission, dissemination or other use of, or taking of any action in reliance upon, 

this information by persons or entities other than the intended recipient is prohibited. 

If you received this in error, please contact the sender and delete the material from any computer.

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