Pricing CMS Swap with HW one Factor Model
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Hi
I have seen that there is the possibility to price CMS swaps with the convexity adjustment proposed by Hagan. For testing I would like to price a CMS with the one factor model HW model. I have seen that there is an implementation for a Vanilla Swap (treeswapengine) but this engine requires a Vanilla Swap. I would be glad if somebody could tell me how best to start this project. Rewriting treeswapengine? thanks! Jordi |
Antwort: Pricing CMS Swap with HW one Factor Model
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Hi Jordi,
how do you plan to compare the adjustment in the hw model with that of hagan's method? They will be very different unless you use the hw implied smile in the replication method. Apart from this, smile extrapolation, convergence and calibration to cms swap margins is in my opinion really non-trivial. I would be interessted, how Quantlib handles these issues in detail (never tried). If here further development is planned, I would be happy to join. If you want, we can compare convexity adjustments (yours computed with ql, mine based on own code). Just provide reference date, fixing date, payment date, cms tenor, swaption smile at fixing date, yield curve. best, Peter jordi100 <horst.jordan@ers tegroup.com> An [hidden email] 11.05.2010 09:53 et Kopie Thema [Quantlib-users] Pricing CMS Swap with HW one Factor Model Hi I have seen that there is the possibility to price CMS swaps with the convexity adjustment proposed by Hagan. For testing I would like to price a CMS with the one factor model HW model. I have seen that there is an implementation for a Vanilla Swap (treeswapengine) but this engine requires a Vanilla Swap. I would be glad if somebody could tell me how best to start this project. Rewriting treeswapengine? thanks! Jordi -- View this message in context: http://old.nabble.com/Pricing-CMS-Swap-with-HW-one-Factor-Model-tp28521031p28521031.html Sent from the quantlib-users mailing list archive at Nabble.com. ------------------------------------------------------------------------------ _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users ------------------------------------------------------------------------------------------------------------------------------------------------------ WGZ BANK AG Westdeutsche Genossenschafts-Zentralbank Sitz: Düsseldorf, Registergericht: Amtsgericht Düsseldorf, HRB 52363 Vorstand: Werner Böhnke (Vors.), Karl-Heinz Moll, Hans-Bernd Wolberg, Uwe Berghaus (stellv.), Dr. Christian Brauckmann (stellv.), Michael Speth (stellv.) Vorsitzender des Aufsichtsrats: Dieter Philipp Ueber das Internet versandte E-Mails koennen unter fremdem Namen erstellt oder inhaltlich veraendert werden. Aus diesem Grund sind unsere als E-Mail verschickten Nachrichten grundsaetzlich keine rechtsverbindlichen Erklaerungen. Der Inhalt dieser E-Mail samt Anlagen ist vertraulich und u. U. rechtlich geschuetzt. Der Inhalt ist ausschließlich an einen bestimmten Empfaenger gerichtet. Eine Weitergabe, die Herstellung von Kopien oder der sonstige Gebrauch durch Nichtadressaten ist nicht erlaubt. Messages sent by e-mail can be manipulated by third parties. For this reason our e-mail messages are generally not legally binding. This electronic message (including any attachments) contains confidential information and may be privileged or otherwise protected from disclosure. The information is intended to be for the use of the intended addressee only. Please be aware that any copy, distribution or use of the contents of this message by any other person than the intended addressee is prohibited. ------------------------------------------------------------------------------ _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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Hi Peter,
the reason why I would need to do it with HW1F is because we are evaluating the implementation of CMS in a software system (I have my own implementation in R but certain things are not as nicely implemented as in quantlib for this reason I would like to use quantlib). This system is using HW1F to price CMS (not that I would do it in this way). Comparing convexity adjustment could be a second step but of course the result would be different. When I am ready with the test set I can send you the result together with the data set. Best regards, Jordi -----Ursprüngliche Nachricht----- Von: Peter Caspers [mailto:[hidden email]] Gesendet: Dienstag, 11. Mai 2010 10:39 An: Jordan Horst 0382 EH Cc: [hidden email] Betreff: [Quantlib-users] Antwort: Pricing CMS Swap with HW one Factor Model Hi Jordi, how do you plan to compare the adjustment in the hw model with that of hagan's method? They will be very different unless you use the hw implied smile in the replication method. Apart from this, smile extrapolation, convergence and calibration to cms swap margins is in my opinion really non-trivial. I would be interessted, how Quantlib handles these issues in detail (never tried). If here further development is planned, I would be happy to join. If you want, we can compare convexity adjustments (yours computed with ql, mine based on own code). Just provide reference date, fixing date, payment date, cms tenor, swaption smile at fixing date, yield curve. best, Peter jordi100 <horst.jordan@ers tegroup.com> An [hidden email] 11.05.2010 09:53 et Kopie Thema [Quantlib-users] Pricing CMS Swap with HW one Factor Model Hi I have seen that there is the possibility to price CMS swaps with the convexity adjustment proposed by Hagan. For testing I would like to price a CMS with the one factor model HW model. I have seen that there is an implementation for a Vanilla Swap (treeswapengine) but this engine requires a Vanilla Swap. I would be glad if somebody could tell me how best to start this project. Rewriting treeswapengine? thanks! Jordi -- View this message in context: http://old.nabble.com/Pricing-CMS-Swap-with-HW-one-Factor-Model-tp28521031p28521031.html Sent from the quantlib-users mailing list archive at Nabble.com. ------------------------------------------------------------------------------ _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users ------------------------------------------------------------------------------------------------------------------------------------------------------ WGZ BANK AG Westdeutsche Genossenschafts-Zentralbank Sitz: Düsseldorf, Registergericht: Amtsgericht Düsseldorf, HRB 52363 Vorstand: Werner Böhnke (Vors.), Karl-Heinz Moll, Hans-Bernd Wolberg, Uwe Berghaus (stellv.), Dr. Christian Brauckmann (stellv.), Michael Speth (stellv.) Vorsitzender des Aufsichtsrats: Dieter Philipp Ueber das Internet versandte E-Mails koennen unter fremdem Namen erstellt oder inhaltlich veraendert werden. Aus diesem Grund sind unsere als E-Mail verschickten Nachrichten grundsaetzlich keine rechtsverbindlichen Erklaerungen. Der Inhalt dieser E-Mail samt Anlagen ist vertraulich und u. U. rechtlich geschuetzt. Der Inhalt ist ausschließlich an einen bestimmten Empfaenger gerichtet. Eine Weitergabe, die Herstellung von Kopien oder der sonstige Gebrauch durch Nichtadressaten ist nicht erlaubt. Messages sent by e-mail can be manipulated by third parties. For this reason our e-mail messages are generally not legally binding. This electronic message (including any attachments) contains confidential information and may be privileged or otherwise protected from disclosure. The information is intended to be for the use of the intended addressee only. Please be aware that any copy, distribution or use of the contents of this message by any other person than the intended addressee is prohibited. ------------------------------------------------------------------------------ _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
Antwort: AW: Antwort: Pricing CMS Swap with HW one Factor Model
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Hi Jordi,
may I ask which software this is? I did not use the hw model in ql, but what you can do is simply compute E^T1 ( Swaprate(T0) ) where T0 is the fixing and T1 is the payment time of your cms coupon in the hull white model by evaluating a one dimensional integral with gauss hermite integration. Just look up the T1-dynamics of the hw model in Brigo Mercurio (or somewhere else). I can send you also code for CMS Spread Options in hw2f if you want (you can directly use this throwing away 2nd factor and 2nd cms rate or adjust to cms / 1 factor case). Best, Peter Jordan Horst 0382 EH <Horst.Jordan@ers An tegroup.com> 'Peter Caspers' <[hidden email]> 17.05.2010 09:59 Kopie "[hidden email]. net" <[hidden email]. net> Thema AW: [Quantlib-users] Antwort: Pricing CMS Swap with HW one Factor Model Hi Peter, the reason why I would need to do it with HW1F is because we are evaluating the implementation of CMS in a software system (I have my own implementation in R but certain things are not as nicely implemented as in quantlib for this reason I would like to use quantlib). This system is using HW1F to price CMS (not that I would do it in this way). Comparing convexity adjustment could be a second step but of course the result would be different. When I am ready with the test set I can send you the result together with the data set. Best regards, Jordi -----Ursprüngliche Nachricht----- Von: Peter Caspers [mailto:[hidden email]] Gesendet: Dienstag, 11. Mai 2010 10:39 An: Jordan Horst 0382 EH Cc: [hidden email] Betreff: [Quantlib-users] Antwort: Pricing CMS Swap with HW one Factor Model Hi Jordi, how do you plan to compare the adjustment in the hw model with that of hagan's method? They will be very different unless you use the hw implied smile in the replication method. Apart from this, smile extrapolation, convergence and calibration to cms swap margins is in my opinion really non-trivial. I would be interessted, how Quantlib handles these issues in detail (never tried). If here further development is planned, I would be happy to join. If you want, we can compare convexity adjustments (yours computed with ql, mine based on own code). Just provide reference date, fixing date, payment date, cms tenor, swaption smile at fixing date, yield curve. best, Peter jordi100 <horst.jordan@ers tegroup.com> An [hidden email] 11.05.2010 09:53 et Kopie Thema [Quantlib-users] Pricing CMS Swap with HW one Factor Model Hi I have seen that there is the possibility to price CMS swaps with the convexity adjustment proposed by Hagan. For testing I would like to price a CMS with the one factor model HW model. I have seen that there is an implementation for a Vanilla Swap (treeswapengine) but this engine requires a Vanilla Swap. I would be glad if somebody could tell me how best to start this project. Rewriting treeswapengine? thanks! Jordi -- View this message in context: http://old.nabble.com/Pricing-CMS-Swap-with-HW-one-Factor-Model-tp28521031p28521031.html Sent from the quantlib-users mailing list archive at Nabble.com. ------------------------------------------------------------------------------ _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users ------------------------------------------------------------------------------------------------------------------------------------------------------ WGZ BANK AG Westdeutsche Genossenschafts-Zentralbank Sitz: Düsseldorf, Registergericht: Amtsgericht Düsseldorf, HRB 52363 Vorstand: Werner Böhnke (Vors.), Karl-Heinz Moll, Hans-Bernd Wolberg, Uwe Berghaus (stellv.), Dr. Christian Brauckmann (stellv.), Michael Speth (stellv.) Vorsitzender des Aufsichtsrats: Dieter Philipp Ueber das Internet versandte E-Mails koennen unter fremdem Namen erstellt oder inhaltlich veraendert werden. Aus diesem Grund sind unsere als E-Mail verschickten Nachrichten grundsaetzlich keine rechtsverbindlichen Erklaerungen. Der Inhalt dieser E-Mail samt Anlagen ist vertraulich und u. U. rechtlich geschuetzt. Der Inhalt ist ausschließlich an einen bestimmten Empfaenger gerichtet. Eine Weitergabe, die Herstellung von Kopien oder der sonstige Gebrauch durch Nichtadressaten ist nicht erlaubt. Messages sent by e-mail can be manipulated by third parties. For this reason our e-mail messages are generally not legally binding. This electronic message (including any attachments) contains confidential information and may be privileged or otherwise protected from disclosure. The information is intended to be for the use of the intended addressee only. Please be aware that any copy, distribution or use of the contents of this message by any other person than the intended addressee is prohibited. ------------------------------------------------------------------------------------------------------------------------------------------------------ WGZ BANK AG Westdeutsche Genossenschafts-Zentralbank Sitz: Düsseldorf, Registergericht: Amtsgericht Düsseldorf, HRB 52363 Vorstand: Werner Böhnke (Vors.), Karl-Heinz Moll, Hans-Bernd Wolberg, Uwe Berghaus (stellv.), Dr. Christian Brauckmann (stellv.), Michael Speth (stellv.) Vorsitzender des Aufsichtsrats: Dieter Philipp Ueber das Internet versandte E-Mails koennen unter fremdem Namen erstellt oder inhaltlich veraendert werden. Aus diesem Grund sind unsere als E-Mail verschickten Nachrichten grundsaetzlich keine rechtsverbindlichen Erklaerungen. Der Inhalt dieser E-Mail samt Anlagen ist vertraulich und u. U. rechtlich geschuetzt. Der Inhalt ist ausschließlich an einen bestimmten Empfaenger gerichtet. Eine Weitergabe, die Herstellung von Kopien oder der sonstige Gebrauch durch Nichtadressaten ist nicht erlaubt. Messages sent by e-mail can be manipulated by third parties. For this reason our e-mail messages are generally not legally binding. This electronic message (including any attachments) contains confidential information and may be privileged or otherwise protected from disclosure. The information is intended to be for the use of the intended addressee only. Please be aware that any copy, distribution or use of the contents of this message by any other person than the intended addressee is prohibited. ------------------------------------------------------------------------------ _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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