How to value a swap with compounded fixing for floating leg?

[cheng li]

Hi All,

 

I am using Quantlibxl 1.2.0 for valuing swaps in Chins's OTC market. In China the most liquid swap is the swap with floating leg as 7-day repo rate. The floating leg is most similar to the OIS's floating leg. The 7-day repo leg is fixed every 7 days instead of daily and payed every 3 month. In most of the cases, such schedule make the last fixing period in one payment period unregular.

 

Is there any ready for use solution existing in Quantlib now for such a case? Thanks in advance.

 

Regards,

Cheng

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[Luigi Ballabio]

Hi Cheng,
    the closest we have is the SubPeriodsCoupon class in
ql/experimental/coupons, that will let you pay the 7-day rate
compounded over 3 months.  However, I'm not sure how it would manage
the irregular period at the end.  If you could give it a try and
possibly fix it so that it works as you need, that would be great.  Do
post here if you run into any problems.

Later,
    Luigi


On Thu, Dec 20, 2012 at 3:27 AM, Cheng Li <[hidden email]> wrote:

> Hi All,
>
> I am using Quantlibxl 1.2.0 for valuing swaps in Chins's OTC market. In
> China the most liquid swap is the swap with floating leg as 7-day repo rate.
> The floating leg is most similar to the OIS's floating leg. The 7-day repo
> leg is fixed every 7 days instead of daily and payed every 3 month. In most
> of the cases, such schedule make the last fixing period in one payment
> period unregular.
>
> Is there any ready for use solution existing in Quantlib now for such a
> case? Thanks in advance.
>
> Regards,
> Cheng
>
> ------------------------------------------------------------------------------
> LogMeIn Rescue: Anywhere, Anytime Remote support for IT. Free Trial
> Remotely access PCs and mobile devices and provide instant support
> Improve your efficiency, and focus on delivering more value-add services
> Discover what IT Professionals Know. Rescue delivers
> http://p.sf.net/sfu/logmein_12329d2d
> _______________________________________________
> QuantLib-users mailing list
> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>

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[cheng li]

Thanks Luigi, I'll have a try. I'll post my progress in this list.

-----邮件原件-----
发件人: Luigi Ballabio [mailto:[hidden email]]
发送时间: 2012年12月28日 21:45
收件人: Cheng Li
抄送: QuantLib QuantLib
主题: Re: [Quantlib-users] How to value a swap with compounded fixing for
floating leg?

Hi Cheng,
    the closest we have is the SubPeriodsCoupon class in
ql/experimental/coupons, that will let you pay the 7-day rate compounded
over 3 months.  However, I'm not sure how it would manage the irregular
period at the end.  If you could give it a try and possibly fix it so that
it works as you need, that would be great.  Do post here if you run into any
problems.

Later,
    Luigi


On Thu, Dec 20, 2012 at 3:27 AM, Cheng Li <[hidden email]>
wrote:
> Hi All,
>
> I am using Quantlibxl 1.2.0 for valuing swaps in Chins's OTC market.
> In China the most liquid swap is the swap with floating leg as 7-day repo
rate.

> The floating leg is most similar to the OIS's floating leg. The 7-day
> repo leg is fixed every 7 days instead of daily and payed every 3
> month. In most of the cases, such schedule make the last fixing period
> in one payment period unregular.
>
> Is there any ready for use solution existing in Quantlib now for such
> a case? Thanks in advance.
>
> Regards,
> Cheng
>
> ----------------------------------------------------------------------
> -------- LogMeIn Rescue: Anywhere, Anytime Remote support for IT. Free
> Trial Remotely access PCs and mobile devices and provide instant
> support Improve your efficiency, and focus on delivering more
> value-add services Discover what IT Professionals Know. Rescue
> delivers http://p.sf.net/sfu/logmein_12329d2d
> _______________________________________________
> QuantLib-users mailing list
> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>

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