QuantlibXl question: Swap cashflows, Interest Reset in Arrears

[Siddharth Sharma-3]

Hello all,

I'm very new to Quantlib so apologies if this question has been answered before (although I did search the docs and mailing list unsuccesfully).

 

I'm trying to create an Excel function to price swaps and wanted to know how to

a) setup a cashflow schedule for an amortising swap. From what I can gather the Cashflow object passed to the swap is a single flow, not a vector

(Schedule fixedSchedule(calendar, settlementDate, maturity,fixedLegFrequency, fixedLegConvention);)

How do I pass a vector of Date=>Amount.

 

b) Can I price swaps where the interest reset is in arrears?

 

c) Also, what will be the best way to implement a cross currency swap?

 

thanks in advance

 

cheers

Sid

 

Yahoo! India Matrimony: Find your life partner online.

[Luigi Ballabio]

On 04/24/05 15:29:01, Siddharth Sharma wrote:
>
> I'm trying to create an Excel function to price swaps and wanted to know
> how to
> a) setup a cashflow schedule for an amortising swap. From what I can
> gather the Cashflow object passed to the swap is a single flow, not a
> vector
> (Schedule fixedSchedule(calendar, settlementDate,
> maturity,fixedLegFrequency, fixedLegConvention);)
> How do I pass a vector of Date=>Amount.

You can use the generic Swap constructor (ql/Instruments/swap.hpp) which  
takes two vectors of cash flows. You can build the two legs with the  
functions provided in ql/CashFlows/cashflowvectors.hpp and  
ql/CashFlows/indexedcashflowvectors.hpp, which also take a vector of  
amounts; pass the sequence of remaining principals (100, 96, 93, 91...) to  
set up an amortizing swap leg.

> b) Can I price swaps where the interest reset is in arrears?

Yes---use IndexedCouponVector<InArrearIndexedCoupon> to build the  
corresponding leg. (See ql/CashFlows/indexedcashflowvectors.hpp and  
ql/CashFlows/inarrearindexedcoupon.hpp)

> c) Also, what will be the best way to implement a cross currency swap?

This is a tougher one. At this time, Swap takes just one term structure for  
discounting, so it might not be possible. Suggestions and patches are  
welcome.

Later,
        Luigi

----------------------------------------

Cogito ergo I'm right and you're wrong.
-- Blair Houghton

[Siddharth Sharma-3]

Hi Luigi,

 thanks for the reply. I'll try and write a CC Swap once I get my head around all this code :-) I have another question though, based on your swap example swapvaluation.cpp

 

I added a par rate calculation after the creation of the depoSwapTermStructure: i.e.

--------------------------------------------------------------

        boost::shared_ptr<YieldTermStructure> depoSwapTermStructure(new
            PiecewiseFlatForward(settlementDate, depoSwapInstruments,
                                 termStructureDayCounter, tolerance));
  double tr = depoSwapTermStructure->parRate(10, settlementDate, Annual, 0);

----------------------------------------------------------------

the 10 year swap rate is 5.165% ( Rate s10yQuote=0.05165;) but the value returned by parRate is 5.16517962147765% The difference is too small to be explained by a daycount convention or fixingDays offset, but it exists nonetheless and i can't seem to figure out why.

 

Anyone have any ideas?

 

thanks and regards

Sid

Luigi Ballabio <[hidden email]> wrote:

On 04/24/05 15:29:01, Siddharth Sharma wrote:
>
> I'm trying to create an Excel function to price swaps and wanted to know
> how to
> a) setup a cashflow schedule for an amortising swap. From what I can
> gather the Cashflow object passed to the swap is a single flow, not a
> vector
> (Schedule fixedSchedule(calendar, settlementDate,
> maturity,fixedLegFrequency, fixedLegConvention);)
> How do I pass a vector of Date=>Amount.

You can use the generic Swap constructor (ql/Instruments/swap.hpp) which
takes two vectors of cash flows. You can build the two legs with the
functions provided in ql/CashFlows/cashflowvectors.hpp and
ql/CashFlows/indexedcashflowvectors.hpp, which also take a vector of
amounts; pass the sequence of remaining principals (100, 96, 93, 91...) to
set up an amortizing swap leg.

> b) Can I price swaps where the interest reset is in arrears?

Yes---use IndexedCouponVector to build the
corresponding leg. (See ql/CashFlows/indexedcashflowvectors.hpp and
ql/CashFlows/inarrearindexedcoupon.hpp)

> c) Also, what will be the best way to implement a cross currency swap?

This is a tougher one. At this time, Swap takes just one term structure for
discounting, so it might not be possible. Suggestions and patches are
welcome.

Later,
Luigi

----------------------------------------

Cogito ergo I'm right and you're wrong.
-- Blair Houghton

Yahoo! India Matrimony: Find your life partner online.