Inaccuracy in swap curve construction

[Tanvi Tiwari]

Hello everyone,

I recently implemented QuantLib in Java and am working on a simple curve construction project. However, I notice that the region of the curve that is generated by swaps (I use swaps, futures, and libor rates) is not matching values from Calypso, when compared directly or used in valuation.

Has anyone else experienced this problem or have any advice?

Thanks,
Tanvi

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[Stefano Portolan]

Hello Tanvi,

 

Maybe it does not apply to your case, but when I implemented the first time the bootstrap with QuantLib I noticed that I needed to take care on the convention in each instrument AND on the interpolation choice for the curve (PiecewiseYieldCurve). For instance, in order to match Bloomberg I needed to use “discount” and “LogLinear” (and Actual/Actual if I am not mistaken).

I never use Calypso and I directly compared to Bloomberg only.

 

Hope it helps.
Cheers.
Stefano

 

 

 

From: Tanvi Tiwari [mailto:[hidden email]]
Sent: mercredi 5 août 2015 19:53
To: [hidden email]
Subject: [Quantlib-users] Inaccuracy in swap curve construction

 

Hello everyone,

 

I recently implemented QuantLib in Java and am working on a simple curve construction project. However, I notice that the region of the curve that is generated by swaps (I use swaps, futures, and libor rates) is not matching values from Calypso, when compared directly or used in valuation.

 

Has anyone else experienced this problem or have any advice?

 

Thanks,
Tanvi

 

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Tanvi Tiwari

[hidden email]
914-519-7138

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