Given a curve, ForwardSpreadedTermstructure returns a new curve such
that the rates returned are equal to the rates returned from the
original curve plus a spread. You can instantiate it by passing to
its constructor the original curve and a handle containing the spread;
see test-suite/termstructures.cpp for an example. Once you have the
new curve, you can just use it to price the swap exactly like you used
the depo-futures-swap curve; just replace the old one with the new.
Luigi
On Sat, Sep 28, 2013 at 3:08 PM, Lawrence Habahbeh
<
[hidden email]> wrote:
> Many Thanks Luigi,
>
> on another note,The class ForwardSpreadedTermstructure ,what is it used for
> exactly ?
>
> and how to use it to add a spread to my original curve,and reprice the swap
> using the
> class above Forward spreadedtermstructure?
>
> I have a depoFutSwap curve.
>
> appreciate your time.
> Many Thanks,
>
>
> On 25 September 2013 12:40, Luigi Ballabio <
[hidden email]> wrote:
>>
>> Hello Lawrence,
>> to get discount factors, zero rates and forward rates you can use,
>> for instance,
>>
>> DayCounter dc = depoFutSwapTermStructure->dayCounter();
>> depoFutSwapTermStructure->discount(d);
>> depoFutSwapTermStructure->zeroRate(d, dc, Continuous); // or Simple
>> depoFutSwapTermStructure->forwardRate(d1, d2, dc, Simple);
>>
>> for any given date d (or any pair d1,d2 for forwards). If you want to
>> know what dates the curve is using internally to interpolate, call
>> depoFutSwapTermStructure->nodes().
>>
>> As for writing to text: I'm not familiar with boost_archive_text, but
>> what's wrong with simply writing to an ofstream?
>>
>> Finally: for the simulation, you'll have to use the market model in
>> ql/models/marketmodels. But it's been a long time since I last used
>> it, so I'll let someone else step in to answer.
>>
>> Luigi
>>
>>
>>
>>
>>
>> On Thu, Sep 19, 2013 at 4:04 PM, Lawrence Habahbeh
>> <
[hidden email]> wrote:
>> > Dear All,
>> >
>> > I am running the vanilla swap example and the build was fine.
>> >
>> >
>> > I have few questions regarding the output :
>> >
>> > how to get the Yield Curve::( Forward rates ,and the discount factors
>> > with
>> > associated dates as output )
>> >
>> > Date | 3-Month Forward rates | zero rates | Discount factors
>> >
>> >
>> >
>> > Would like to use the Bootstrapped curve,and generate 10,000 scenarios
>> > and
>> > then reprice my swap of the simulated curves,total MtM are # of
>> > paths(10,000)* # time steps per year (in this case quarterly)= 40,000
>> > MtM's
>> >
>> >
>> > I Tried using boost_archive_text to write output to text,but to no
>> > avail,how to achieve writing to text ?
>> >
>> >
>> > attached the swap valuation file
>> >
>> >
>> > Regards,
>> >
>> >
>> >
>> > ------------------------------------------------------------------------------
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>> > QuantLib-users mailing list
>> >
[hidden email]
>> >
https://lists.sourceforge.net/lists/listinfo/quantlib-users>> >
>>
>>
>>
>> --
>> <
https://implementingquantlib.blogspot.com>
>> <
https://twitter.com/lballabio>
>
>
--
<
https://implementingquantlib.blogspot.com>
<
https://twitter.com/lballabio>
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USDSwapValuation.cpp (54K)