PeiceWise and FuturesRateHelper

[DHar]

Using PeicewiseYieldCurve, I'm trying to construct a 3 month USD discount curve from the first 8 eurusd contracts. This curve is being built from the 8 Futures Objects I have built using the FuturesRateHelper2. 

The problem is if I adjust the Convexity within the FuturesRateHelper2 from 0.00 (as per the sample spreadsheet "YieldCurveBootstrapping"), the PiecewiseYieldCurveDates and PiecewiseYieldCurveData from the PiecewiseYieldCurve changes to NUM!....... Im inserting the convexity as the Implied Volatility for each contract. 

Also a point to note, is that the PiecewiseYieldCurveDates returns the wrong Future settlement dates.... The first two Sep10 and Dec10 are correct as the 3rd Wednesday,however March and June show Tuesday and Thursday respectively. QuantLib XL returns the correct dates when I use QLIMMDate on the same IMM code, so why does the PiecewiseYieldCurveDates return the wrong array of dates from the constructed YieldCurve thats built from the FutureRatesHelper Objects? 

Cheers
------------------------------------------------------------------------------
This SF.net Dev2Dev email is sponsored by:

Show off your parallel programming skills.
Enter the Intel(R) Threading Challenge 2010.
http://p.sf.net/sfu/intel-thread-sfd
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users

[DHar]

Hi All,

Would anyone have any suggestions for this?

Regards

DHar wrote

Using PeicewiseYieldCurve, I'm trying to construct a 3 month USD  
discount curve from the first 8 eurusd contracts. This curve is being  
built from the 8 Futures Objects I have built using the  
FuturesRateHelper2.

The problem is if I adjust the Convexity within the FuturesRateHelper2  
from 0.00 (as per the sample spreadsheet "YieldCurveBootstrapping"),  
the PiecewiseYieldCurveDates and PiecewiseYieldCurveData from the  
PiecewiseYieldCurve changes to NUM!....... Im inserting the convexity  
as the Implied Volatility for each contract.

Also a point to note, is that the PiecewiseYieldCurveDates returns the  
wrong Future settlement dates.... The first two Sep10 and Dec10 are  
correct as the 3rd Wednesday,however March and June show Tuesday and  
Thursday respectively. QuantLib XL returns the correct dates when I  
use QLIMMDate on the same IMM code, so why does the  
PiecewiseYieldCurveDates return the wrong array of dates from the  
constructed YieldCurve thats built from the FutureRatesHelper Objects?

Cheers

------------------------------------------------------------------------------
This SF.net Dev2Dev email is sponsored by:

Show off your parallel programming skills.
Enter the Intel(R) Threading Challenge 2010.
http://p.sf.net/sfu/intel-thread-sfd
_______________________________________________
QuantLib-users mailing list
[e-mail]
https://lists.sourceforge.net/lists/listinfo/quantlib-users

[Ferdinando M. Ametrano-3]

On Mon, Sep 20, 2010 at 8:57 AM, DHar wrote:
> Would anyone have any suggestions for this?

I might take a look at it if you provide a simplified workbook. Even
better if you use the 1.0.1 release candidate at
http://sourceforge.net/projects/quantlib/files/prerelease/

ciao -- Nando

------------------------------------------------------------------------------
Start uncovering the many advantages of virtual appliances
and start using them to simplify application deployment and
accelerate your shift to cloud computing.
http://p.sf.net/sfu/novell-sfdev2dev
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users

[DHar]

Hi Nando,
Many thanks for the reply. I have installed Qlxl1.01 and still seeing the same behaviour.

The ED Futures are currently set to use the 0.00 Convexity column P.
if you change these to Column 0, with the volatility values you'll then see the error in the piecewise yield curve dates function (NUM!)

besides this the dates retuned are incorrect.

Worksheet attached...
Kind Regards

Ferdinando Ametrano wrote

On Mon, Sep 20, 2010 at 8:57 AM, DHar wrote:
> Would anyone have any suggestions for this?

I might take a look at it if you provide a simplified workbook. Even
better if you use the 1.0.1 release candidate at
http://sourceforge.net/projects/quantlib/files/prerelease/

ciao -- Nando

------------------------------------------------------------------------------
Start uncovering the many advantages of virtual appliances
and start using them to simplify application deployment and
accelerate your shift to cloud computing.
http://p.sf.net/sfu/novell-sfdev2dev
_______________________________________________
QuantLib-users mailing list
[e-mail]
https://lists.sourceforge.net/lists/listinfo/quantlib-users

QLXL+test.xlsx

[Bojan Nikolic]

,----
|
| The problem is if I adjust the Convexity within the FuturesRateHelper2
| from 0.00 (as per the sample spreadsheet "YieldCurveBootstrapping"),
| the PiecewiseYieldCurveDates and PiecewiseYieldCurveData from the
| PiecewiseYieldCurve changes to NUM!....... Im inserting the convexity
| as the Implied Volatility for each contract.
`----

The reason for the NUM! error is that the prices as given in the
FuturesRateHelper2 calls are not consistent with a non-negative yield
and the root-finding algorithm aborts at the first iteration of the
solving for the yield. I think the underlying reason is that the
convexity should be supplied in a different convention, this is what the
documentation shows:

,----
| ConvexityAdjQuote convexity adjustment quote (i.e. Forward rate = Futures rate - convexity adjustment).
`----


--
Bojan Nikolic          ||          http://www.bnikolic.co.uk/ql

------------------------------------------------------------------------------
Start uncovering the many advantages of virtual appliances
and start using them to simplify application deployment and
accelerate your shift to cloud computing.
http://p.sf.net/sfu/novell-sfdev2dev
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users