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[In response to] difficulty costructing PiecewiseYieldCurve with USD Libor fixes.

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VINOD RAJAKUMAR
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[In response to] difficulty costructing PiecewiseYieldCurve with USD Libor fixes.

VINOD RAJAKUMAR

Hi Luigi,

Thanks for the clarification with regards to the fixing being a (forward) rate between spot and maturity. I have two follow up questions:

First, my output doesn't quite match yours for 9/6/2016. specifically my output has a curve node for 10/10/2016 instead of 10/11/2016 like yours and as a result I cannot recover the 1-month libor fixing. This was an issue I raised in my original email and it may be related to the version I am using (1.4-7 on centos). Is this just a bug in the older version of quantlib I am using (10/10 is a bank holiday in the u.s., columbus day)?

EvaluationDate: 2016-09-06
ReferenceDate:  2016-09-06
Curve nodes:
2016-09-06,0.00420438
2016-09-07,0.00420438
2016-09-15,0.00438472
2016-10-10,0.00510927
2016-11-08,0.00655011
2016-12-08,0.00830808
2017-03-08,0.01237149
2017-09-08,0.01542962
Check original rate fixes
 1d,2016-09-07,0.00420440,0.00420440,2016-09-06,2016-09-07,0.42044000 % Actual/360 simple compounding
 1w,2016-09-15,0.00443000,0.00443000,2016-09-08,2016-09-15,0.44300000 % Actual/360 simple compounding
 1m,2016-10-11,0.00516560,0.00521669,2016-09-08,2016-10-11,0.52166855 % Actual/360 simple compounding
 2m,2016-11-08,0.00663000,0.00663000,2016-09-08,2016-11-08,0.66300000 % Actual/360 simple compounding
 3m,2016-12-08,0.00840670,0.00840670,2016-09-08,2016-12-08,0.84067000 % Actual/360 simple compounding
 6m,2017-03-08,0.01250060,0.01250060,2016-09-08,2017-03-08,1.25006000 % Actual/360 simple compounding
12m,2017-09-08,0.01561330,0.01561330,2016-09-08,2017-09-08,1.56133000 % Actual/360 simple compounding

Second, I would like to use this yield curve constructed from libor fixings to interpolate simple rates for non usdlibor maturities. And I'd like to follow the approach outlined by ISDA in this doc:

http://www.isda.org/c_and_a/pdf/Linear-interpolation-example.pdf

For example for the maturity date 12/16/2016, I would want to interpolate between the 3-month (12/8/2016) and the 6-month (3/8/2017) libor nodes:

0.84067% + (1.25006% - 0.84067%)/(90) X (8) = 0.877060222%

However, I cannot replicate this result regardless of whether I treat this as a rate starting from today's date (9/6/2016) or as a rate starting from the settle date (9/8/2016). Instead I get:

Interpolate rate
2016-09-06,0.86798270 % Actual/360 simple compounding,0.86692756 % Actual/360 continuous compounding
2016-09-08,0.87695778 % Actual/360 simple compounding,0.87590202 % Actual/360 continuous compounding

(I attached a Main_v4.cpp that modifies your Main_v3.cpp slightly at the end to output this interpolated rate. but it is hardcoded to really only work with the 9/6 input fixings file...)

How can I interpolate this curve according to how the isda doc suggests? I thought maybe the curve class I am using is interpolating the continuous rates instead of the simple rates and so I can't replicate the result? Perhaps I should be using a different class?

thanks,
Vinod



On Thu, Oct 13, 2016 at 5:54 AM, Luigi Ballabio <[hidden email]> wrote:
Hi Vinod,

    [adding quantlib-users in cc as it might be useful to others]

apologies for taking so long to look into it. You're retrieving the wrong rate.  Starting from your Main_v1.cpp so that we use the correct calendar rule for the maturities:

- first, set the number of settlement days for the curve to 0 instead of 2;
- then, when extracting the rates to compare with the input, don't use the zeroRate method; that will give you the rate between the start of the curve (i.e., today's date) and the maturity, whereas the libor fixing is the rate between spot and the maturity.  To retrieve the correct rate, you have two possibilities:

1) calculate the correct start and end dates and use the forwardRate method instead, as in:

    boost::shared_ptr<QuantLib::IborIndex> index;
    if(vecTenor[i]=="1d") 
        index = boost::shared_ptr<QuantLib::IborIndex>(new QuantLib::USDLiborON);
    else
        index = boost::shared_ptr<QuantLib::IborIndex>(new QuantLib::USDLibor(QuantLib::PeriodParser::parse(vecTenor[i])));

    QuantLib::Date start = index->valueDate(dateFix);
    QuantLib::Date maturity = index->maturityDate(start);
    std::cout << QuantLib::io::iso_date(start) << "," << QuantLib::io::iso_date(maturity) << ",";
    std::cout << libor->forwardRate(start, maturity, QuantLib::Actual360(), QuantLib::Simple);

2) pass the curve to the index and let it do its job, as in:

    boost::shared_ptr<QuantLib::IborIndex> index;
    QuantLib::Handle<QuantLib::YieldTermStructure> h(libor);

    if(vecTenor[i]=="1d") 
        index = boost::shared_ptr<QuantLib::IborIndex>(new QuantLib::USDLiborON(h));
    else
        index = boost::shared_ptr<QuantLib::IborIndex>(new QuantLib::USDLibor(QuantLib::PeriodParser::parse(vecTenor[i]), h));
    std::cout << index->fixing(dateFix);

I've added both approaches to the Main_v3.cpp I'm attaching. They both work:

EvaluationDate: 2016-09-06
ReferenceDate:  2016-09-06
Curve nodes:
2016-09-06,0.00420438
2016-09-07,0.00420438
2016-09-15,0.00438472
2016-10-11,0.00511081
2016-11-08,0.00655011
2016-12-08,0.00830808
2017-03-08,0.01237149
2017-09-08,0.01542962
Check original rate fixes
 1d,2016-09-07,0.00420440,0.00420440,2016-09-06,2016-09-07,0.42044000 % Actual/360 simple compounding
 1w,2016-09-15,0.00443000,0.00443000,2016-09-08,2016-09-15,0.44300000 % Actual/360 simple compounding
 1m,2016-10-11,0.00516560,0.00516560,2016-09-08,2016-10-11,0.51656000 % Actual/360 simple compounding
 2m,2016-11-08,0.00663000,0.00663000,2016-09-08,2016-11-08,0.66300000 % Actual/360 simple compounding
 3m,2016-12-08,0.00840670,0.00840670,2016-09-08,2016-12-08,0.84067000 % Actual/360 simple compounding
 6m,2017-03-08,0.01250060,0.01250060,2016-09-08,2017-03-08,1.25006000 % Actual/360 simple compounding
12m,2017-09-08,0.01561330,0.01561330,2016-09-08,2017-09-08,1.56133000 % Actual/360 simple compounding

Hope this helps,
    Luigi



On Tue, Oct 4, 2016 at 8:47 PM VINOD RAJAKUMAR <[hidden email]> wrote:
Luigi,

I've attached two sample programs.

Main_v1.cpp should be identical to the original sample program I sent to demonstrate the issues I was having.

Main_v2.cpp modifies two lines per your instructions. in line 87, instead of using the DepositRateHelper constructor

> DepositRateHelper (const Handle< Quote > &rate, const boost::shared_ptr< IborIndex > &iborIndex)

it uses

> DepositRateHelper (Rate rate, const Period &tenor, Natural fixingDays, const Calendar &calendar, BusinessDayConvention convention, bool endOfMonth, const DayCounter &dayCounter)

so that I can pass 0 or 2 fixing days based on their settle convention (I actually just use the IborIndex public methods since it seems to contain the correct conventions already)

and in line 104, instead of passing in 2 days to the PiecewiseYieldConstructor, I pass in 0.

>    libor(new QuantLib::PiecewiseYieldCurve<QuantLib::ZeroYield, QuantLib::Linear>(2,

>    libor(new QuantLib::PiecewiseYieldCurve<QuantLib::ZeroYield, QuantLib::Linear>(0,

here is the output from v2 when invoked on the 20160906 input file for libor (I excluded some initial debugging output but it is contained in the output files attached):

...
EvaluationDate: 2016-09-06
ReferenceDate:  2016-09-06
Curve nodes:
2016-09-06,0.00420438
2016-09-07,0.00420438
2016-09-15,0.00438472
2016-10-10,0.00510927
2016-11-08,0.00655011
2016-12-08,0.00830808
2017-03-08,0.<a href="tel:0123%207149" value="+3901237149" class="m_6958064925260409603m_312227946781739933gmail_msg" target="_blank">01237149
2017-09-08,0.<a href="tel:015%2042962" value="+3901542962" class="m_6958064925260409603m_312227946781739933gmail_msg" target="_blank">01542962
Check original rate fixes
 1d,2016-09-07,0.00420440,0.42044000 % Actual/360 simple compounding
 1w,2016-09-15,0.00443000,0.43849628 % Actual/360 simple compounding
 1m,2016-10-11,0.00516560,0.51602458 % Actual/360 simple compounding
 2m,2016-11-08,0.00663000,0.65538640 % Actual/360 simple compounding
 3m,2016-12-08,0.00840670,0.83170065 % Actual/360 simple compounding
 6m,2017-03-08,0.<a href="tel:0125%200060" value="+3901250060" class="m_6958064925260409603m_312227946781739933gmail_msg" target="_blank">01250060,1.24104681 % Actual/360 simple compounding
12m,2017-09-08,0.<a href="tel:015%2061330" value="+3901561330" class="m_6958064925260409603m_312227946781739933gmail_msg" target="_blank">01561330,1.55516138 % Actual/360 simple compounding

Only the rate for overnight libor matches (highlighted in green), the rest do not match (highlighted orange).

-Vinod


On Mon, Oct 3, 2016 at 11:20 AM, Luigi Ballabio <[hidden email]> wrote:
Hi Vinod,
    I'm not sure I follow.  If you pass 0 days to the piecewise-curve constructor and either 0 or 2 days to the deposit-helper constructors according to their individual settle, the calculation will take that into account and reprice the rates exactly--or at least it did, last time I looked.  May you post a sample program that reproduces the issue?

Thanks,
    Luigi


On Wed, Sep 14, 2016 at 11:24 PM VINOD RAJAKUMAR <[hidden email]> wrote:

Thank you for the suggestions Nicholas.

With regards to your first proposal, I appreciate that QuantLib has enough features that I can calculate the settlement date myself, but I was hoping to avoid this since the objects passed to the constructor contain all the business/market logic needed. Perhaps I can propose this as a future enhancement to this object - a constructor that doesn't require settlement days, calendar or even a reference date and instead uses the IborIndex objects passed to it (thru the DepositRateHelpers) to correctly calculate settlement date. The IborIndex objects seem to contain a calendar and already compute value/reference date and maturity date correctly - the PiecewiseYieldCurve could just use those methods?

The second solution you propose in order to include o/n rates (T+0 settle) with longer-dated usdlibor maturities (T+2 settle) is not so straightforward unfortunately. If you pass in 0 as the settlement days (or even the actual reference date for the o/n rate), this has the side-effect of computing erroneous date-rate nodes for the other IborIndex rates passed to the PiecewiseYieldCurve. In order to recover the original fixes, you would have to modify the actual rate values slightly to account for slight differences in the computation of t when constructing the curve. You can try it out for yourself by changing the settlement to 0 in the sample program, and you will see you can not recover the original rates passed in (other than for the o/n rate).

Finally, were you able to replicate the issue with the date node for 1-month usdlibor for the rates fixed on 9/6 on the most recent version of QuantLib (v1.8) using my sample program? If it is fixed in a later version I can work on upgrading my libraries.

Best,
Vinod



On Tue, Sep 13, 2016 at 9:41 AM, BERTOCCHI NICHOLAS <[hidden email]> wrote:

Dear Vinod,

 

your first problem is related to the different ways used by Libor indexes and yield curves to evaluate the settlement date. Libor indexes use the u.k. calendar to move 2 days forward and then adjust the settlement date taking care of local calendar (u.s. calendar in your case). Yield curves use only the calendar passed to the constructor (u.s. calendar). If you have a local holidays in the middle (for example in t+1), in the first case it will be considered as one of the two working days, in the second case it will be jumped. I suggest you to use another PiecewiseYieldCurve constructor in which you don't have to set the calendar and the settlement days to the curve but directly the settlement date. In this way you can specify as input the proper settlement date (2016-09-06 in your case).

Moving to the second point, if you pass two settlement days to the curve, any instrument with maturity in the first 2 days will be ignored. Curve settlement days different form 0 are used when you are bootstrapping a tenor curve (for example 3M curve) and you don’t have any information over the 2 days period before the value date of your first instrument (for example 3M deposit). By choosing 2 settlement days you are forcing the curve to start from t+2 (discount 1 at t+2). If you want to include the o/n rate and/or the t/n rate I suggest you to pass 0 settlement days to the curve.

Your last issue looks very strange. In your version of QuantLib (it is different in the last releases) the yield curve should use rate helper maturities as pillar dates. A deposit maturity is set equal to the Ibor index end date. I need to go deeper in the problem to give you an answer.

I hope it will help you.

Kind Regards,

 

Nicholas



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Main_v4.cpp (8K) Download Attachment
Luigi Ballabio
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Re: [In response to] difficulty costructing PiecewiseYieldCurve with USD Libor fixes.

Luigi Ballabio
Hi Vinod,
    yes, it's likely that the different node is due to changes in newer versions of the library (either in the calendar or in the way that the libor index joins the London and US calendars).

As for the interpolation: if you ask the curve for rate at a given maturity, it won't interpolate the input rates directly. In your case (since you are using a lineraly-interpolated zero curve) it will interpolate the nodes to get the zero rates at start and maturity, calculate the corresponding discounts, and obtain the forward rate from them.  I can try and work out the intermediate calculations if you need it.

Luigi


On Thu, Oct 20, 2016 at 6:43 PM VINOD RAJAKUMAR <[hidden email]> wrote:

Hi Luigi,

Thanks for the clarification with regards to the fixing being a (forward) rate between spot and maturity. I have two follow up questions:

First, my output doesn't quite match yours for 9/6/2016. specifically my output has a curve node for 10/10/2016 instead of 10/11/2016 like yours and as a result I cannot recover the 1-month libor fixing. This was an issue I raised in my original email and it may be related to the version I am using (1.4-7 on centos). Is this just a bug in the older version of quantlib I am using (10/10 is a bank holiday in the u.s., columbus day)?

EvaluationDate: 2016-09-06
ReferenceDate:  2016-09-06
Curve nodes:
2016-09-06,0.00420438
2016-09-07,0.00420438
2016-09-15,0.00438472
2016-10-10,0.00510927
2016-11-08,0.00655011
2016-12-08,0.00830808
2017-03-08,0.<a href="tel:0123%207149" value="+3901237149" class="gmail_msg" target="_blank">01237149
2017-09-08,0.<a href="tel:015%2042962" value="+3901542962" class="gmail_msg" target="_blank">01542962
Check original rate fixes
 1d,2016-09-07,0.00420440,0.00420440,2016-09-06,2016-09-07,0.42044000 % Actual/360 simple compounding
 1w,2016-09-15,0.00443000,0.00443000,2016-09-08,2016-09-15,0.44300000 % Actual/360 simple compounding
 1m,2016-10-11,0.00516560,0.00521669,2016-09-08,2016-10-11,0.52166855 % Actual/360 simple compounding
 2m,2016-11-08,0.00663000,0.00663000,2016-09-08,2016-11-08,0.66300000 % Actual/360 simple compounding
 3m,2016-12-08,0.00840670,0.00840670,2016-09-08,2016-12-08,0.84067000 % Actual/360 simple compounding
 6m,2017-03-08,0.<a href="tel:0125%200060" value="+3901250060" class="gmail_msg" target="_blank">01250060,0.<a href="tel:0125%200060" value="+3901250060" class="gmail_msg" target="_blank">01250060,2016-09-08,2017-03-08,1.25006000 % Actual/360 simple compounding
12m,2017-09-08,0.<a href="tel:015%2061330" value="+3901561330" class="gmail_msg" target="_blank">01561330,0.<a href="tel:015%2061330" value="+3901561330" class="gmail_msg" target="_blank">01561330,2016-09-08,2017-09-08,1.56133000 % Actual/360 simple compounding

Second, I would like to use this yield curve constructed from libor fixings to interpolate simple rates for non usdlibor maturities. And I'd like to follow the approach outlined by ISDA in this doc:

http://www.isda.org/c_and_a/pdf/Linear-interpolation-example.pdf

For example for the maturity date 12/16/2016, I would want to interpolate between the 3-month (12/8/2016) and the 6-month (3/8/2017) libor nodes:

0.84067% + (1.25006% - 0.84067%)/(90) X (8) = 0.877060222%

However, I cannot replicate this result regardless of whether I treat this as a rate starting from today's date (9/6/2016) or as a rate starting from the settle date (9/8/2016). Instead I get:

Interpolate rate
2016-09-06,0.86798270 % Actual/360 simple compounding,0.86692756 % Actual/360 continuous compounding
2016-09-08,0.87695778 % Actual/360 simple compounding,0.87590202 % Actual/360 continuous compounding

(I attached a Main_v4.cpp that modifies your Main_v3.cpp slightly at the end to output this interpolated rate. but it is hardcoded to really only work with the 9/6 input fixings file...)

How can I interpolate this curve according to how the isda doc suggests? I thought maybe the curve class I am using is interpolating the continuous rates instead of the simple rates and so I can't replicate the result? Perhaps I should be using a different class?

thanks,
Vinod



On Thu, Oct 13, 2016 at 5:54 AM, Luigi Ballabio <[hidden email]> wrote:
Hi Vinod,

    [adding quantlib-users in cc as it might be useful to others]

apologies for taking so long to look into it. You're retrieving the wrong rate.  Starting from your Main_v1.cpp so that we use the correct calendar rule for the maturities:

- first, set the number of settlement days for the curve to 0 instead of 2;
- then, when extracting the rates to compare with the input, don't use the zeroRate method; that will give you the rate between the start of the curve (i.e., today's date) and the maturity, whereas the libor fixing is the rate between spot and the maturity.  To retrieve the correct rate, you have two possibilities:

1) calculate the correct start and end dates and use the forwardRate method instead, as in:

    boost::shared_ptr<QuantLib::IborIndex> index;
    if(vecTenor[i]=="1d") 
        index = boost::shared_ptr<QuantLib::IborIndex>(new QuantLib::USDLiborON);
    else
        index = boost::shared_ptr<QuantLib::IborIndex>(new QuantLib::USDLibor(QuantLib::PeriodParser::parse(vecTenor[i])));

    QuantLib::Date start = index->valueDate(dateFix);
    QuantLib::Date maturity = index->maturityDate(start);
    std::cout << QuantLib::io::iso_date(start) << "," << QuantLib::io::iso_date(maturity) << ",";
    std::cout << libor->forwardRate(start, maturity, QuantLib::Actual360(), QuantLib::Simple);

2) pass the curve to the index and let it do its job, as in:

    boost::shared_ptr<QuantLib::IborIndex> index;
    QuantLib::Handle<QuantLib::YieldTermStructure> h(libor);

    if(vecTenor[i]=="1d") 
        index = boost::shared_ptr<QuantLib::IborIndex>(new QuantLib::USDLiborON(h));
    else
        index = boost::shared_ptr<QuantLib::IborIndex>(new QuantLib::USDLibor(QuantLib::PeriodParser::parse(vecTenor[i]), h));
    std::cout << index->fixing(dateFix);

I've added both approaches to the Main_v3.cpp I'm attaching. They both work:

EvaluationDate: 2016-09-06
ReferenceDate:  2016-09-06
Curve nodes:
2016-09-06,0.00420438
2016-09-07,0.00420438
2016-09-15,0.00438472
2016-10-11,0.00511081
2016-11-08,0.00655011
2016-12-08,0.00830808
2017-03-08,0.<a href="tel:0123%207149" value="+3901237149" class="gmail_msg" target="_blank">01237149
2017-09-08,0.<a href="tel:015%2042962" value="+3901542962" class="gmail_msg" target="_blank">01542962
Check original rate fixes
 1d,2016-09-07,0.00420440,0.00420440,2016-09-06,2016-09-07,0.42044000 % Actual/360 simple compounding
 1w,2016-09-15,0.00443000,0.00443000,2016-09-08,2016-09-15,0.44300000 % Actual/360 simple compounding
 1m,2016-10-11,0.00516560,0.00516560,2016-09-08,2016-10-11,0.51656000 % Actual/360 simple compounding
 2m,2016-11-08,0.00663000,0.00663000,2016-09-08,2016-11-08,0.66300000 % Actual/360 simple compounding
 3m,2016-12-08,0.00840670,0.00840670,2016-09-08,2016-12-08,0.84067000 % Actual/360 simple compounding
 6m,2017-03-08,0.<a href="tel:0125%200060" value="+3901250060" class="gmail_msg" target="_blank">01250060,0.01250060,2016-09-08,2017-03-08,1.25006000 % Actual/360 simple compounding
12m,2017-09-08,0.<a href="tel:015%2061330" value="+3901561330" class="gmail_msg" target="_blank">01561330,0.01561330,2016-09-08,2017-09-08,1.56133000 % Actual/360 simple compounding

Hope this helps,
    Luigi



On Tue, Oct 4, 2016 at 8:47 PM VINOD RAJAKUMAR <[hidden email]> wrote:
Luigi,

I've attached two sample programs.

Main_v1.cpp should be identical to the original sample program I sent to demonstrate the issues I was having.

Main_v2.cpp modifies two lines per your instructions. in line 87, instead of using the DepositRateHelper constructor

> DepositRateHelper (const Handle< Quote > &rate, const boost::shared_ptr< IborIndex > &iborIndex)

it uses

> DepositRateHelper (Rate rate, const Period &tenor, Natural fixingDays, const Calendar &calendar, BusinessDayConvention convention, bool endOfMonth, const DayCounter &dayCounter)

so that I can pass 0 or 2 fixing days based on their settle convention (I actually just use the IborIndex public methods since it seems to contain the correct conventions already)

and in line 104, instead of passing in 2 days to the PiecewiseYieldConstructor, I pass in 0.

>    libor(new QuantLib::PiecewiseYieldCurve<QuantLib::ZeroYield, QuantLib::Linear>(2,

>    libor(new QuantLib::PiecewiseYieldCurve<QuantLib::ZeroYield, QuantLib::Linear>(0,

here is the output from v2 when invoked on the 20160906 input file for libor (I excluded some initial debugging output but it is contained in the output files attached):

...
EvaluationDate: 2016-09-06
ReferenceDate:  2016-09-06
Curve nodes:
2016-09-06,0.00420438
2016-09-07,0.00420438
2016-09-15,0.00438472
2016-10-10,0.00510927
2016-11-08,0.00655011
2016-12-08,0.00830808
2017-03-08,0.<a href="tel:0123%207149" value="+3901237149" class="m_775026104431868103m_6958064925260409603m_312227946781739933gmail_msg gmail_msg" target="_blank">01237149
2017-09-08,0.<a href="tel:015%2042962" value="+3901542962" class="m_775026104431868103m_6958064925260409603m_312227946781739933gmail_msg gmail_msg" target="_blank">01542962
Check original rate fixes
 1d,2016-09-07,0.00420440,0.42044000 % Actual/360 simple compounding
 1w,2016-09-15,0.00443000,0.43849628 % Actual/360 simple compounding
 1m,2016-10-11,0.00516560,0.51602458 % Actual/360 simple compounding
 2m,2016-11-08,0.00663000,0.65538640 % Actual/360 simple compounding
 3m,2016-12-08,0.00840670,0.83170065 % Actual/360 simple compounding
 6m,2017-03-08,0.<a href="tel:0125%200060" value="+3901250060" class="m_775026104431868103m_6958064925260409603m_312227946781739933gmail_msg gmail_msg" target="_blank">01250060,1.24104681 % Actual/360 simple compounding
12m,2017-09-08,0.<a href="tel:015%2061330" value="+3901561330" class="m_775026104431868103m_6958064925260409603m_312227946781739933gmail_msg gmail_msg" target="_blank">01561330,1.55516138 % Actual/360 simple compounding

Only the rate for overnight libor matches (highlighted in green), the rest do not match (highlighted orange).

-Vinod


On Mon, Oct 3, 2016 at 11:20 AM, Luigi Ballabio <[hidden email]> wrote:
Hi Vinod,
    I'm not sure I follow.  If you pass 0 days to the piecewise-curve constructor and either 0 or 2 days to the deposit-helper constructors according to their individual settle, the calculation will take that into account and reprice the rates exactly--or at least it did, last time I looked.  May you post a sample program that reproduces the issue?

Thanks,
    Luigi


On Wed, Sep 14, 2016 at 11:24 PM VINOD RAJAKUMAR <[hidden email]> wrote:

Thank you for the suggestions Nicholas.

With regards to your first proposal, I appreciate that QuantLib has enough features that I can calculate the settlement date myself, but I was hoping to avoid this since the objects passed to the constructor contain all the business/market logic needed. Perhaps I can propose this as a future enhancement to this object - a constructor that doesn't require settlement days, calendar or even a reference date and instead uses the IborIndex objects passed to it (thru the DepositRateHelpers) to correctly calculate settlement date. The IborIndex objects seem to contain a calendar and already compute value/reference date and maturity date correctly - the PiecewiseYieldCurve could just use those methods?

The second solution you propose in order to include o/n rates (T+0 settle) with longer-dated usdlibor maturities (T+2 settle) is not so straightforward unfortunately. If you pass in 0 as the settlement days (or even the actual reference date for the o/n rate), this has the side-effect of computing erroneous date-rate nodes for the other IborIndex rates passed to the PiecewiseYieldCurve. In order to recover the original fixes, you would have to modify the actual rate values slightly to account for slight differences in the computation of t when constructing the curve. You can try it out for yourself by changing the settlement to 0 in the sample program, and you will see you can not recover the original rates passed in (other than for the o/n rate).

Finally, were you able to replicate the issue with the date node for 1-month usdlibor for the rates fixed on 9/6 on the most recent version of QuantLib (v1.8) using my sample program? If it is fixed in a later version I can work on upgrading my libraries.

Best,
Vinod



On Tue, Sep 13, 2016 at 9:41 AM, BERTOCCHI NICHOLAS <[hidden email]> wrote:

Dear Vinod,

 

your first problem is related to the different ways used by Libor indexes and yield curves to evaluate the settlement date. Libor indexes use the u.k. calendar to move 2 days forward and then adjust the settlement date taking care of local calendar (u.s. calendar in your case). Yield curves use only the calendar passed to the constructor (u.s. calendar). If you have a local holidays in the middle (for example in t+1), in the first case it will be considered as one of the two working days, in the second case it will be jumped. I suggest you to use another PiecewiseYieldCurve constructor in which you don't have to set the calendar and the settlement days to the curve but directly the settlement date. In this way you can specify as input the proper settlement date (2016-09-06 in your case).

Moving to the second point, if you pass two settlement days to the curve, any instrument with maturity in the first 2 days will be ignored. Curve settlement days different form 0 are used when you are bootstrapping a tenor curve (for example 3M curve) and you don’t have any information over the 2 days period before the value date of your first instrument (for example 3M deposit). By choosing 2 settlement days you are forcing the curve to start from t+2 (discount 1 at t+2). If you want to include the o/n rate and/or the t/n rate I suggest you to pass 0 settlement days to the curve.

Your last issue looks very strange. In your version of QuantLib (it is different in the last releases) the yield curve should use rate helper maturities as pillar dates. A deposit maturity is set equal to the Ibor index end date. I need to go deeper in the problem to give you an answer.

I hope it will help you.

Kind Regards,

 

Nicholas



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