Hello,
I’m trying to tie out a QuantLib program with Bloomberg’s SWPM screen. I have the deposit, futures, and swap rates as in the Swap example project, and created an IborIndex using the joint UK and US calendars to pick up both sets of holidays.
boost::shared_ptr<IborIndex> idx(new USDLibor(Period(3, Months), forecastingTermStructure));
forecastingTermStructure is linked to
boost::shared_ptr<YieldTermStructure> depoFutSwapTermStructure(
//new PiecewiseYieldCurve<Discount, Linear>(
new PiecewiseYieldCurve<ZeroYield, Linear>(
settlementDate, depoFutSwapInstruments,
termStructureDayCounter,
tolerance));
My problem is the fixings used in the floating leg that Bloomberg uses are not the same as what QuantLib uses. I did do a clearFixing() on the IborIndex object and added the fixings I see on the SWPM Resets tab. I’ve also confirmed by calculations in Excel that the difference in cashflows on the floating leg is due entirely to the fixings.
Bloomberg uses Piecewise Linear (Simple) for the interpolation. I changed that to Piecewise Linear (Continuous) but the fixings still don’t match. I also changed to PiecewiseYieldCurve<ZeroYield, Linear> in my own code after confirming with Bloomberg they are interpolating the term structure, not the discount factors or the market rates.
I’ve used Google to search for answers to this, and looked at the examples and unit tests in the QuantLib code. Is there anywhere I’ve missed in my searches?
Thanks,
Dale Smith, Ph.D.
Senior Financial Quantitative Analyst
Risk & Compliance
Fiserv.
107 Technology Park
Norcross, GA 30092
Office: 678-375-5315
Mobile: 678-982-6599
Mail: [hidden email]
www.fiserv.com
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