QuantliXL: "permanent", "trigger" fields and convexity adjustment

[mcastagnaa]

Eric,
there are couple of things (not related) I didn't have an handle yet. First
one are those Permanent and Trigger fields: I never see them used in the
example (I'm using the yield curve one at the moment) so I'm pretty much
lost about how to (if I have to) use them.
The second one is more about finance and is related to the convexity
adjustment that should be performed on X-bor futures (let's say beyond the
sixth contract at least): on the example zero is used everywhere ... what
should I do in order to implement a proper number?
Thanks. Matteo
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[FORNAROLA CHIARA]

Hi Matteo,

 

Which example are you looking at for Futures Conv. Adj?

Have you had a look at qlFuturesConvexityBias?

This function allows you to calculate futures convexity bias as in
G.Kirikos, D.Novak "Convexity Conundrums" (Risk, March 1997).

 

C.

 

 

-----Original Message-----
From: [hidden email]
[mailto:[hidden email]] On Behalf Of
Matteo Castagna
Sent: Sunday, December 17, 2006 3:21 PM
To: [hidden email]
Subject: [Quantlib-users] QuantliXL: "permanent","trigger" fields and
convexity adjustment

 

Eric,

there are couple of things (not related) I didn't have an handle yet.
First

one are those Permanent and Trigger fields: I never see them used in the

example (I'm using the yield curve one at the moment) so I'm pretty much

lost about how to (if I have to) use them.

The second one is more about finance and is related to the convexity

adjustment that should be performed on X-bor futures (let's say beyond
the

sixth contract at least): on the example zero is used everywhere ...
what

should I do in order to implement a proper number?

Thanks. Matteo

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[eric ehlers]

Hi Matteo,

On 12/17/06, Matteo Castagna <[hidden email]> wrote:
> Eric,
> there are couple of things (not related) I didn't have an handle yet. First
> one are those Permanent and Trigger fields: I never see them used in the
> example (I'm using the yield curve one at the moment) so I'm pretty much
> lost about how to (if I have to) use them.

I've updated the documentation to explain those items:

http://www.quantlibaddin.org/trigger.html

Regards,
Eric