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OIS dual curve discounting

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Mahendra Singh

OIS dual curve discounting

Hi, is there an example of using quantlib to build a curve using ois dual curve discounting?
Currently using fincad to do this but would like to compare with quantlib.

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Luigi Ballabio

Re: OIS dual curve discounting

Hello,
apologies for the delay: I had a busy month both at work and at
home and I had to drop the ball on the mailing list.
I'll try and make such an example in the coming month.

Luigi

On Thu, Feb 27, 2014 at 3:12 PM, Mahendra Singh <[hidden email]> wrote:

> Hi, is there an example of using quantlib to build a curve using ois dual
> curve discounting?
> Currently using fincad to do this but would like to compare with quantlib.
>
> ------------------------------------------------------------------------------
> Flow-based real-time traffic analytics software. Cisco certified tool.
> Monitor traffic, SLAs, QoS, Medianet, WAAS etc. with NetFlow Analyzer
> Customize your own dashboards, set traffic alerts and generate reports.
> Network behavioral analysis & security monitoring. All-in-one tool.
> http://pubads.g.doubleclick.net/gampad/clk?id=126839071&iu=/4140/ostg.clktrk
> _______________________________________________
> QuantLib-users mailing list
> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>

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George Wang

Re: OIS dual curve discounting

Hi Luigi,

Hope you have time to work on this example soon. I am very interested in this as well. I just bought the "Implementing Quantlib" ebook hoping to find something related to dual curve, but it seems not there based on my quick browse.

Thanks,
George

Sent from my iPhone

> On Mar 28, 2014, at 12:11 PM, Luigi Ballabio <[hidden email]> wrote:
>
> Hello,
> apologies for the delay: I had a busy month both at work and at
> home and I had to drop the ball on the mailing list.
> I'll try and make such an example in the coming month.
>
> Luigi
>
>> On Thu, Feb 27, 2014 at 3:12 PM, Mahendra Singh <[hidden email]> wrote:
>> Hi, is there an example of using quantlib to build a curve using ois dual
>> curve discounting?
>> Currently using fincad to do this but would like to compare with quantlib.
>>
>> ------------------------------------------------------------------------------
>> Flow-based real-time traffic analytics software. Cisco certified tool.
>> Monitor traffic, SLAs, QoS, Medianet, WAAS etc. with NetFlow Analyzer
>> Customize your own dashboards, set traffic alerts and generate reports.
>> Network behavioral analysis & security monitoring. All-in-one tool.
>> http://pubads.g.doubleclick.net/gampad/clk?id=126839071&iu=/4140/ostg.clktrk
>> _______________________________________________
>> QuantLib-users mailing list
>> [hidden email]
>> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>
>
>
> --
> <https://implementingquantlib.blogspot.com>
> <https://twitter.com/lballabio>
>
> ------------------------------------------------------------------------------
> _______________________________________________
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cheng li

答复: OIS dual curve discounting

Hi George,

Please the attachment for an example of how to use quantlib to do dual curve
calibration.

The basic procedure of dual curve calibration in quantlib is to do that one
by one (not simultaneously).

1. fit the discounting curve
Here is the ``yts_ois_benchmark`` in the example.

2. fit the forwarding curve
The rate helpers for some instruments can take into one external discounting
curve ( in our case, the swap rate helper). In such setting, user can make
the discounting curve frozen as he wish and only calibrate the forwarding
curve. So we get the forwarding curve ``yts_swap_benchmark``

If you want some stuff on simultaneous curve bootstrap, Kosynski making some
effort in this direction, please see the following link:

https://github.com/lballabio/quantlib/pull/162

Actually my codes sample is taken from his codes stuff.

Regards,
Cheng

-----邮件原件-----
发件人: George Wang [mailto:[hidden email]]
发送时间: 2015年4月21日 7:58
收件人: Luigi Ballabio
抄送: [hidden email]
主题: Re: [Quantlib-users] OIS dual curve discounting

Hi Luigi,

Hope you have time to work on this example soon. I am very interested in
this as well. I just bought the "Implementing Quantlib" ebook hoping to find
something related to dual curve, but it seems not there based on my quick
browse.

Thanks,
George

Sent from my iPhone

> On Mar 28, 2014, at 12:11 PM, Luigi Ballabio <[hidden email]>
wrote:
>
> Hello,
> apologies for the delay: I had a busy month both at work and at
> home and I had to drop the ball on the mailing list.
> I'll try and make such an example in the coming month.
>
> Luigi
>
>> On Thu, Feb 27, 2014 at 3:12 PM, Mahendra Singh <[hidden email]>
wrote:
>> Hi, is there an example of using quantlib to build a curve using ois
>> dual curve discounting?
>> Currently using fincad to do this but would like to compare with
quantlib.

>>
>> ---------------------------------------------------------------------
>> --------- Flow-based real-time traffic analytics software. Cisco
>> certified tool.
>> Monitor traffic, SLAs, QoS, Medianet, WAAS etc. with NetFlow Analyzer
>> Customize your own dashboards, set traffic alerts and generate reports.
>> Network behavioral analysis & security monitoring. All-in-one tool.
>> http://pubads.g.doubleclick.net/gampad/clk?id=126839071&iu=/4140/ostg
>> .clktrk _______________________________________________
>> QuantLib-users mailing list
>> [hidden email]
>> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>
>
>
> --
> <https://implementingquantlib.blogspot.com>
> <https://twitter.com/lballabio>
>
> ----------------------------------------------------------------------
> -------- _______________________________________________
> QuantLib-users mailing list
> [hidden email]
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Develop your own process in accordance with the BPMN 2 standard
Learn Process modeling best practices with Bonita BPM through live exercises
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testDualCurvePricing.cpp (7K) Download Attachment

George Wang

Re: 答复: OIS dual curve discounting

Hi Cheng,

Thanks a lot for the example and explanation! I will give it a try tomorrow.

Regards,
George

Sent from my iPhone

> On Apr 20, 2015, at 9:56 PM, Cheng Li <[hidden email]> wrote:
>
> Hi George,
>
> Please the attachment for an example of how to use quantlib to do dual curve
> calibration.
>
> The basic procedure of dual curve calibration in quantlib is to do that one
> by one (not simultaneously).
>
> 1. fit the discounting curve
> Here is the ``yts_ois_benchmark`` in the example.
>
> 2. fit the forwarding curve
> The rate helpers for some instruments can take into one external discounting
> curve ( in our case, the swap rate helper). In such setting, user can make
> the discounting curve frozen as he wish and only calibrate the forwarding
> curve. So we get the forwarding curve ``yts_swap_benchmark``
>
> If you want some stuff on simultaneous curve bootstrap, Kosynski making some
> effort in this direction, please see the following link:
>
> https://github.com/lballabio/quantlib/pull/162
>
> Actually my codes sample is taken from his codes stuff.
>
> Regards,
> Cheng
>
> -----邮件原件-----
> 发件人: George Wang [mailto:[hidden email]]
> 发送时间: 2015年4月21日 7:58
> 收件人: Luigi Ballabio
> 抄送: [hidden email]
> 主题: Re: [Quantlib-users] OIS dual curve discounting
>
> Hi Luigi,
>
> Hope you have time to work on this example soon. I am very interested in
> this as well. I just bought the "Implementing Quantlib" ebook hoping to find
> something related to dual curve, but it seems not there based on my quick
> browse.
>
> Thanks,
> George
>
> Sent from my iPhone
>
>>> On Mar 28, 2014, at 12:11 PM, Luigi Ballabio <[hidden email]>
>> wrote:
>>
>> Hello,
>> apologies for the delay: I had a busy month both at work and at
>> home and I had to drop the ball on the mailing list.
>> I'll try and make such an example in the coming month.
>>
>> Luigi
>>
>>> On Thu, Feb 27, 2014 at 3:12 PM, Mahendra Singh <[hidden email]>
> wrote:
>>> Hi, is there an example of using quantlib to build a curve using ois
>>> dual curve discounting?
>>> Currently using fincad to do this but would like to compare with
> quantlib.
>>>
>>> ---------------------------------------------------------------------
>>> --------- Flow-based real-time traffic analytics software. Cisco
>>> certified tool.
>>> Monitor traffic, SLAs, QoS, Medianet, WAAS etc. with NetFlow Analyzer
>>> Customize your own dashboards, set traffic alerts and generate reports.
>>> Network behavioral analysis & security monitoring. All-in-one tool.
>>> http://pubads.g.doubleclick.net/gampad/clk?id=126839071&iu=/4140/ostg
>>> .clktrk _______________________________________________
>>> QuantLib-users mailing list
>>> [hidden email]
>>> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>>
>>
>>
>> --
>> <https://implementingquantlib.blogspot.com>
>> <https://twitter.com/lballabio>
>>
>> ----------------------------------------------------------------------
>> -------- _______________________________________________
>> QuantLib-users mailing list
>> [hidden email]
>> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>
> ----------------------------------------------------------------------------
> --
> BPM Camp - Free Virtual Workshop May 6th at 10am PDT/1PM EDT Develop your
> own process in accordance with the BPMN 2 standard Learn Process modeling
> best practices with Bonita BPM through live exercises
> http://www.bonitasoft.com/be-part-of-it/events/bpm-camp-virtual- event?utm_
> source=Sourceforge_BPM_Camp_5_6_15&utm_medium=email&utm_campaign=VA_SF
> _______________________________________________
> QuantLib-users mailing list
> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
> <testDualCurvePricing.cpp>