Problem solved: ql ois curve bootstrapping

[Grison PG Pierre (External DEXIA-US)]

Hi all,

My problem has been solved by a friendly ql user. Problem came from inputs which were not in the right unit (bps instead of real value).

I have still a problem with the first three pillars (1D, 2D, 3D) : because of workday conventions, these swaps have, for QL, the same maturity. It's another problem in the makeois.cpp file because the line

endDate = startDate+swapTenor_;

does not works for maturities inferior to one week... Usually, people do not use swap rate for the lowest pillar of the discount curve, so the problem should not raise. Do you also have an idea for this problem?

I think I could fix it directly  in my code by adding a test on maturity and, for instance, changing the 2d into a 4d (weekend jump) and the 3d into a 5d... Or just using the ql calendar to do it.

Best,

Pierre

-----Original Message-----
From: PORTOLAN Stefano [mailto:[hidden email]]
Sent: Thursday, September 04, 2014 12:12 PM
To: Grison PG Pierre (External DEXIA-US)
Subject: RE: [Quantlib-users] ql ois curve bootstrapping

Hi Pierre,

Very good that I could help!

By the way, I think you just answer to me, but maybe the it could be helpful for the mailing list to have the entire thread of the conversation.
All this blabla simply to beg your pardon and ask you to directly copy and paste here your answer (with the new questions).

I think I have a partial question to the first, but not as satisfying as I would like ...

I will think a minute on it, ok?

Cheers.
Stefano



-----Original Message-----
From: Grison PG Pierre (External DEXIA-US) [mailto:[hidden email]]
Sent: jeudi 4 septembre 2014 18:05
To: PORTOLAN Stefano
Subject: RE: [Quantlib-users] ql ois curve bootstrapping

Hi Stefano,

Thank you so much, it was the cause of the problem! You have being a great help.

There is also problems with the first three pillars (1D, 2D, 3D) : because of workday conventions, these swaps have, for QL, the same maturity. It's another problem in the makeois.cpp file because the line

endDate = startDate+swapTenor_;


does not works for maturities inferior to one week... Usually, people do not use swap rate for the lowest pillar of the discount curve, so the problem should not raise. Do you also have an idea for this problem?

Best,

Pierre



-----Original Message-----
From: Stefano Portolan [mailto:[hidden email]]
Sent: Thursday, September 04, 2014 11:45 AM
To: [hidden email]
Subject: Re: [Quantlib-users] ql ois curve bootstrapping

Hi Pierre,

I don't know whether I can be of any help but at the beginning, while playing out with boostrapping ratehelpers, I got the same problem.
I got rid of it simply noting that I was putting WRONG rate values: In order to put a quoted 0.04 (%!!!) as 1.e-4 or 0.0004, I was simply giving 0.04 ...
something like 4%.

I don't know if it applies to your case, but I see that with a 3 year maturity you are boostrapping quotes ranging between 0.1 and 0.9 ... is it right at first place?

Hoping being of some help :P

Best.
Stefano



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