Multicurve discounting
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Hi,
Does QuantLib support multicurve discounting, i.e. when you discount using one curve (OIS), but use another curve (i.e. 3M LIBOR) for determining of the cash flows? See e.g. http://blog.numerix.com/public/2011/02/otc-derivatives-valuation-adoption-of-multiple-pricing-curves.html for more information. Kind regards, Grzegorz ------------------------------------------------------------------------------ Live Security Virtual Conference Exclusive live event will cover all the ways today's security and threat landscape has changed and how IT managers can respond. Discussions will include endpoint security, mobile security and the latest in malware threats. http://www.accelacomm.com/jaw/sfrnl04242012/114/50122263/ _______________________________________________ QuantLib-dev mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-dev |
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Hi Grzegorz,
yes, it does. Have a look at the SwapRateHelper class that allows specifying an exogenous discounting curve. This is the essential thing you need (in the single currency world). So you build the discounting curve first (e.g. bootstrapping from ON, TN and OIS quotes). In a second step you build e.g. a 3M tenor Swap curve from Deposits, FRAs and 3M tenor Swaps, where you use the former curve as exogenous discounting curve with your SwapRateHelpers. Kind regards, Roland On 3 Sep 2012, at 17:11, Grześ Andruszkiewicz wrote: > Hi, > > Does QuantLib support multicurve discounting, i.e. when you discount > using one curve (OIS), but use another curve (i.e. 3M LIBOR) for > determining of the cash flows? > > See e.g. http://blog.numerix.com/public/2011/02/otc-derivatives-valuation-adoption-of-multiple-pricing-curves.html > for more information. > > Kind regards, > Grzegorz > > ------------------------------------------------------------------------------ > Live Security Virtual Conference > Exclusive live event will cover all the ways today's security and > threat landscape has changed and how IT managers can respond. Discussions > will include endpoint security, mobile security and the latest in malware > threats. http://www.accelacomm.com/jaw/sfrnl04242012/114/50122263/ > _______________________________________________ > QuantLib-dev mailing list > [hidden email] > https://lists.sourceforge.net/lists/listinfo/quantlib-dev ------------------------------------------------------------------------------ Live Security Virtual Conference Exclusive live event will cover all the ways today's security and threat landscape has changed and how IT managers can respond. Discussions will include endpoint security, mobile security and the latest in malware threats. http://www.accelacomm.com/jaw/sfrnl04242012/114/50122263/ _______________________________________________ QuantLib-dev mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-dev |
Re: Multicurve discounting
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In reply to this post by Grześ Andruszkiewicz
On Mon, Sep 3, 2012 at 5:11 PM, Grześ Andruszkiewicz <[hidden email]> wrote:
> Does QuantLib support multicurve discounting, i.e. when you discount > using one curve (OIS), but use another curve (i.e. 3M LIBOR) for > determining of the cash flows? yes it does ciao -- Nando ------------------------------------------------------------------------------ Live Security Virtual Conference Exclusive live event will cover all the ways today's security and threat landscape has changed and how IT managers can respond. Discussions will include endpoint security, mobile security and the latest in malware threats. http://www.accelacomm.com/jaw/sfrnl04242012/114/50122263/ _______________________________________________ QuantLib-dev mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-dev |
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In reply to this post by Roland Lichters-3
... yes, except you wouldn't build a forward curve from deposits (which gives rather bumpy forwards in my experience - this being a possible source for serious problems for e.g. FRAs and Caps), would you? There is no useful information in a 1m deposit quote for the estimation of a 3m index.
Peter
2012/9/3 Roland Lichters <[hidden email]> Hi Grzegorz, ------------------------------------------------------------------------------ Live Security Virtual Conference Exclusive live event will cover all the ways today's security and threat landscape has changed and how IT managers can respond. Discussions will include endpoint security, mobile security and the latest in malware threats. http://www.accelacomm.com/jaw/sfrnl04242012/114/50122263/ _______________________________________________ QuantLib-dev mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-dev |
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Really? So a 3M tenor swap fixing in 1M
has no dependency on 1M depos (and a 4M point obviously)? Things have obviously
changed since I did this type of stuff… do people now interpolate the 3M
depo with the next Future (convexity adjusted) and a 3x6 rate derived from a 6M
swap (if available)? Very interested. Simon From:
Peter Caspers [mailto:[hidden email]] ... yes, except you wouldn't build a forward curve from deposits (which
gives rather bumpy forwards in my experience - this being a possible
source for serious problems for e.g. FRAs and Caps), would you?
There is no useful information in a 1m deposit quote for the estimation
of a 3m index. Peter 2012/9/3 Roland Lichters <[hidden email]> Hi Grzegorz,
This email is not intended to nor should it be taken to create any legal relations or contractual relationships. This email has originated from ------------------------------------------------------------------------------ Live Security Virtual Conference Exclusive live event will cover all the ways today's security and threat landscape has changed and how IT managers can respond. Discussions will include endpoint security, mobile security and the latest in malware threats. http://www.accelacomm.com/jaw/sfrnl04242012/114/50122263/ _______________________________________________ QuantLib-dev mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-dev |
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The 1m-4m EUR FRA mid is around 0.2460. When you estimate that rate from 1m and 4m depos, you get 0.3783. The 3m-6m FRA is at 0.2180. Estimation on 3m depo and 6m depo gives 0.7186. If you use 3m depo and 0x6 FRA you get 0.8215. If I tweaked my system correcty ... ;-) - obviously you can mess things up very easily in the new world...
You have to ensure to use solely instruments linked to the 3m index e.g. 0d, 1d x 3, 1x4, 2x5 ... FRAs, Swaps vs. 3m, which already gives a good forward curve in my opinion. The modeling of the very short end is not easy I believe. Also cash quotes even with the 'right' maturity have to be handled with care. Concerning interpolation a new promising direction seems to be the direct interpolation of the (discrete) forwards.
Peter
2012/9/6 Simon Ibbotson <[hidden email]>
------------------------------------------------------------------------------ Live Security Virtual Conference Exclusive live event will cover all the ways today's security and threat landscape has changed and how IT managers can respond. Discussions will include endpoint security, mobile security and the latest in malware threats. http://www.accelacomm.com/jaw/sfrnl04242012/114/50122263/ _______________________________________________ QuantLib-dev mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-dev |
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In reply to this post by Ferdinando M. Ametrano-3
On Mon, Sep 3, 2012 at 12:19 PM, Ferdinando Ametrano<[hidden email]>
wrote: > On Mon, Sep 3, 2012 at 5:11 PM, Grześ Andruszkiewicz > <[hidden email]> wrote: >> Does QuantLib support multicurve discounting, i.e. when you discount >> using one curve (OIS), but use another curve (i.e. 3M LIBOR) for >> determining of the cash flows? > yes it does Hi Nando, What if all you have to build your OIS curve is FFvs3M basis swaps? In that case you need to jointly calibrate your 3M and OIS curves, as they are interdependent. Would you have some pointers on how to do that within Quantlib? Best Regards, Ed ------------------------------------------------------------------------------ Monitor your physical, virtual and cloud infrastructure from a single web console. Get in-depth insight into apps, servers, databases, vmware, SAP, cloud infrastructure, etc. Download 30-day Free Trial. Pricing starts from $795 for 25 servers or applications! http://p.sf.net/sfu/zoho_dev2dev_nov _______________________________________________ QuantLib-dev mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-dev |
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ED <[hidden email]> wrote: >On Mon, Sep 3, 2012 at 12:19 PM, Ferdinando >Ametrano<[hidden email]> >wrote: >> On Mon, Sep 3, 2012 at 5:11 PM, Grześ Andruszkiewicz >> <[hidden email]> wrote: >>> Does QuantLib support multicurve discounting, i.e. when you discount >>> using one curve (OIS), but use another curve (i.e. 3M LIBOR) for >>> determining of the cash flows? >> yes it does > >Hi Nando, > >What if all you have to build your OIS curve is FFvs3M basis swaps? >In that case you need to jointly calibrate your 3M and OIS curves, as >they are interdependent. >Would you have some pointers on how to do that within Quantlib? > >Best Regards, >Ed I realize the lack of an N-dimensional solver makes things harder. However, this would probably be feasible with LM, with a modified bootstrapper... is it something someone might have tried? Any thoughts on the feasibility? Regards, Ed ------------------------------------------------------------------------------ Monitor your physical, virtual and cloud infrastructure from a single web console. Get in-depth insight into apps, servers, databases, vmware, SAP, cloud infrastructure, etc. Download 30-day Free Trial. Pricing starts from $795 for 25 servers or applications! http://p.sf.net/sfu/zoho_dev2dev_nov _______________________________________________ QuantLib-dev mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-dev |
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In reply to this post by Ferdinando M. Ametrano-3
Hi Nando,
Where can if find some documentation on how to do this? Currently looking into the curve construction approaches that were presented in "Everything you always wanted to know about multiple interest rate curve bootstrapping but were afraid to ask". Currently working with QuantLib in Python. Thanks in advance. Kind regards, Dirk Jonkman |
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