Hi Eric and all,
1.) I have tried to construct a term structure object
using qlPiecewiseYieldCurve(), following the LIBOR
convention which should have a settlement lag of 2
days. I have set up deposit rate and swap rate
through helpers forming the basis of the yield curve.
2.) As in the case of deposit rate with a 2 day
settlement lag, overnight rate would be 1 day from
today, tom/next rate would be 1 day after overnight,
and both are before spot date which by convention
would be today+2. All set up without problem and
qlLatestDate() checked.
2.) Come the time when the curve object is
constructed, and trying to retrieve discount factor
through qlDiscount(). With the settlement lag at 2
and the overnight and tom/next rate, no discount
factor can be retrieved. Log dumped shown that
negative day value is not supported. Discount factor
will only be calculated if
- settlement lag set to 0, which is not the LIBOR
convention, OR
- overnight and tom/next deposit rate not included in
the term structure, then discount factor will be
calculated without problem.
I just ain't sure this would be the limitation of
quantlibXL, or have I setup some of the parameters
wrongly?
The distributed demo file YC_SwapDemo.xls actually has
the same problem. When the settlement lag is set to 2
(which is the case for EURIBOR) then the discount
factor calculation would fail as well.
Regards,
Wilkie
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