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Problem w/ QuantLib::bucketAnalysis() [experimental\risk\sensitivitynalysis.hpp]

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T. Nicolas Steinbach

Problem w/ QuantLib::bucketAnalysis() [experimental\risk\sensitivitynalysis.hpp]

I was curious if anyone had come across a similar challenge to the one we encountered.

We have found the bucketAnalysis functions useful, but when used to determine interest rate exposure of a swap or other fixed-income asset to a depo-future-swap bootstrapped curve, a limitation in bucketAnalysis becomes apparent.

Namely, as bucketAnalysis is unable to benefit from any introspection of what is being ‘shifted’, it ‘shift’s all the quotes by the same amount and in the same direction.

However, rate futures prices would need to be shifted in the opposite direction, and multiplied by a factor of 100.

bucketAnalysis does not know that a future price quote needs to be treated differently from a swap rate in it’s current implementation.

As such, I was curious if it would be a better implementation of bucketAnalysis if it were to take a vector<Handle<BootstrapHelper>>’s instead of a vector<Handle< SimpleQuote>>’s.

Has anyone come across this problem. Does this sound like a good idea?

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Peter Caspers-4

Re: Problem w/ QuantLib::bucketAnalysis() [experimental\risk\sensitivitynalysis.hpp]

Hi,

just my two cents. I would propose to introduce a new Quote class
which manages up and down bumps by itself. Then extract the bump logic
from the XxxAnalysis functions to a central place and check if we have
a Quote that can be cast to our new BumpManagingQuote class (this is
not meant to be the final name). If yes, use the bump methods in the
quote, otherwise use the standard way of shifting the quotes.

That is less intrusive and doesn't put the weight of distinguishing
different instruments or even helpers into the analysis-functions.

Best regards
Peter

On 22 June 2015 at 19:40, T. Nicolas Steinbach
<[hidden email]> wrote:

> I was curious if anyone had come across a similar challenge to the one we
> encountered.
>
>
>
> We have found the bucketAnalysis functions useful, but when used to
> determine interest rate exposure of a swap or other fixed-income asset to a
> depo-future-swap bootstrapped curve, a limitation in bucketAnalysis becomes
> apparent.
>
>
>
> Namely, as bucketAnalysis is unable to benefit from any introspection of
> what is being ‘shifted’, it ‘shift’s all the quotes by the same amount and
> in the same direction.
>
>
>
> However, rate futures prices would need to be shifted in the opposite
> direction, and multiplied by a factor of 100.
>
> bucketAnalysis does not know that a future price quote needs to be treated
> differently from a swap rate in it’s current implementation.
>
>
>
> As such, I was curious if it would be a better implementation of
> bucketAnalysis if it were to take a vector<Handle<BootstrapHelper>>’s
> instead of a vector<Handle< SimpleQuote>>’s.
>
>
>
> Has anyone come across this problem. Does this sound like a good idea?
>
>
> ------------------------------------------------------------------------------
> Monitor 25 network devices or servers for free with OpManager!
> OpManager is web-based network management software that monitors
> network devices and physical & virtual servers, alerts via email & sms
> for fault. Monitor 25 devices for free with no restriction. Download now
> http://ad.doubleclick.net/ddm/clk/292181274;119417398;o
> _______________________________________________
> QuantLib-users mailing list
> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>

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Luigi Ballabio

Re: Problem w/ QuantLib::bucketAnalysis() [experimental\risk\sensitivitynalysis.hpp]

Another possibility might be to extract the bumping logic in a function object and pass it to bucketAnalysis(). The default one would bump all quotes of the same amount and in the same direction. Another one would know which quotes to move in the usual ways and which ones to move differently (for instance, it could look at the vector of rate helpers when it's built and check which ones are futures).

Luigi

On Tue, Jun 30, 2015 at 9:37 AM Peter Caspers <[hidden email]> wrote:

Hi,

just my two cents. I would propose to introduce a new Quote class
which manages up and down bumps by itself. Then extract the bump logic
from the XxxAnalysis functions to a central place and check if we have
a Quote that can be cast to our new BumpManagingQuote class (this is
not meant to be the final name). If yes, use the bump methods in the
quote, otherwise use the standard way of shifting the quotes.

That is less intrusive and doesn't put the weight of distinguishing
different instruments or even helpers into the analysis-functions.

Best regards
Peter

On 22 June 2015 at 19:40, T. Nicolas Steinbach
<[hidden email]> wrote:
> I was curious if anyone had come across a similar challenge to the one we
> encountered.
>
>
>
> We have found the bucketAnalysis functions useful, but when used to
> determine interest rate exposure of a swap or other fixed-income asset to a
> depo-future-swap bootstrapped curve, a limitation in bucketAnalysis becomes
> apparent.
>
>
>
> Namely, as bucketAnalysis is unable to benefit from any introspection of
> what is being ‘shifted’, it ‘shift’s all the quotes by the same amount and
> in the same direction.
>
>
>
> However, rate futures prices would need to be shifted in the opposite
> direction, and multiplied by a factor of 100.
>
> bucketAnalysis does not know that a future price quote needs to be treated
> differently from a swap rate in it’s current implementation.
>
>
>
> As such, I was curious if it would be a better implementation of
> bucketAnalysis if it were to take a vector<Handle<BootstrapHelper>>’s
> instead of a vector<Handle< SimpleQuote>>’s.
>
>
>
> Has anyone come across this problem. Does this sound like a good idea?
>
>
> ------------------------------------------------------------------------------
> Monitor 25 network devices or servers for free with OpManager!
> OpManager is web-based network management software that monitors
> network devices and physical & virtual servers, alerts via email & sms
> for fault. Monitor 25 devices for free with no restriction. Download now
> http://ad.doubleclick.net/ddm/clk/292181274;119417398;o
> _______________________________________________
> QuantLib-users mailing list
> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>

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https://www.gigenetcloud.com/
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