R: Re: dual bootstrapping
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R: Re: dual bootstrapping
 
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Re: R: Re: dual bootstrapping
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R: RE: R: Re: dual bootstrapping
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R: R: Re: dual bootstrapping
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In reply to this post by MAZZOCCHI PAOLO
Hi Paolo, I'm trying to make a test of the results I got, although they are pretty similar to those I have in our Front Office System. Starting with EONIA: As you can see, I have very good results for the "like Deposit" Rates (TassoDeposito) I have some difference for the swap side (in particular I'm not understanding how QL build the future dates of the swap (TestTassoSwap). I know that differences are small but since I'd like to understand why. Thank you very much in advance for your help. Regards. Da: MAZZOCCHI PAOLO [mailto:[hidden email]] Hi Silvia, > I forgot another important question: what should i do in order to perform the boostrap at a past date? To do that you have to select the evaluation date; you can change the evaluation date using “qlSettingsSetEvaluationDate()”. > How should I do to make it working? Where should I save the new downloaded files What files did you have downloaded? If you have the new “.xll” you can substitute the old one with this one. Regards, Paolo From: Silvia Buttarazzi [mailto:[hidden email]] I forgot another important question: what should i do in order to perform the boostrap at a past date? Thank u very much in advance. Da: MAZZOCCHI PAOLO [via QuantLib] [mailto:ml-node+[hidden email]] Hi Silvia, I took a look at your workbook. First of all, which version of QL you are using? (you can open a QL Excel session and use the function “ohversion()” with no parameters). I noticed that in the sheet “Step5_Eur6M_Config_Swap” you are not using the discounting curve in “qlSwapRateHelper2()”. Here you need to add the discounting curve: i.e. the obj in cell Step6_Bootstrap!F20. (in column U of these sheet you select the correct discount curve, but then it is not used in the swap Rate Helpers) In these way the Euribor6M curve is calculated (I can see the discount factor in sheet “Step7_Eur6M_Bootstrap”). What error do you have in sheet “Step7_Eur6M_Bootstrap” cell F21? Regards, Paolo -----Original Message----- Hi, I'm new to QuantLib. I'd like to use quantlib add-ins in the excel spreadsheet. I would like to bootstrap the swap vs 6 months curve assuming that the Eonia Curve is the discounting curve. Firstly, I create the Eonia Curve. Then, I set the EONIA Curve in the Discount Curve of the Swap Rate Helper when I built the SWAP vs 6M Curve, but it doesn't seem to work. Please find enclosed my excel file. I would reaaly appreciate if someone could help me to fix this spreadsheet. Thank you very much in advance. EoniaBootstrapQuantLib_v3.xlsx <http://quantlib.10058.n7.nabble.com/file/n16789/EoniaBootstrapQuantLib_v3.xlsx> -- View this message in context: http://quantlib.10058.n7.nabble.com/dual-bootstrapping-tp16789.html Sent from the quantlib-users mailing list archive at Nabble.com. ------------------------------------------------------------------------------ _______________________________________________ QuantLib-users mailing list
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Re: R: Re: dual bootstrapping
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R: R: Re: dual bootstrapping
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Thank you paolo, I did what you suggested and it was working properly (see attached file "EoniaBootstrapQuantlib_v5" ). Today I was making my file cleaner (I'd like to introduce quantlib in a course I will make at the university: if you have time you can look at the slides and the file I was working on (still draft, I have still to add the test phase and the comparison with other bootstrapping output). Moreover I have a very basic question: What does the always blank parameters "
" mean? And why are they always left blank? If I was a student, I will surely ask... Thank you very much for your kind answer and helpful suggestions. Regards. Da: MAZZOCCHI PAOLO [mailto:[hidden email]m] Hi Silvia, the problem in your workbook is that you use for the Eonia swap the function "qlSwapRateHelper". This function uses the settlement days of the index, in this case 0 (Eonia index) . For this reason your Eonia swaps have the incorrect start date (today instead of today+2) and therefore all the other dates. To solve this problem you can use "qlOISRateHelper". Anyway, if you want to check the swap dates, you can use the function "qlSwapLegAnalysis" (as first things you need to convert your ratehelper to a vanillaswap, using: qlVanillaSwapFromSwapRateHelper()). Regards, Paolo Da: BUTTARAZZI SILVIA (BP) [[hidden email]] Hi Paolo, I'm trying to make a test of the results I got, although they are pretty similar to those I have in our Front Office System. Starting with EONIA: As you can see, I have very good results for the "like Deposit" Rates (TassoDeposito) I have some difference for the swap side (in particular I'm not understanding how QL build the future dates of the swap (TestTassoSwap). I know that differences are small but since I'd like to understand why. Thank you very much in advance for your help. Regards. Da: MAZZOCCHI PAOLO [mailto:[hidden email]] Hi Silvia, > I forgot another important question: what should i do in order to perform the boostrap at a past date? To do that you have to select the evaluation date; you can change the evaluation date using “qlSettingsSetEvaluationDate()”. > How should I do to make it working? Where should I save the new downloaded files What files did you have downloaded? If you have the new “.xll” you can substitute the old one with this one. Regards, Paolo From: Silvia Buttarazzi [mailto:[hidden email]] I forgot another important question: what should i do in order to perform the boostrap at a past date? Thank u very much in advance. Da: MAZZOCCHI PAOLO [via QuantLib] [mailto:ml-node+[hidden email]] Hi Silvia, I took a look at your workbook. First of all, which version of QL you are using? (you can open a QL Excel session and use the function “ohversion()” with no parameters). I noticed that in the sheet “Step5_Eur6M_Config_Swap” you are not using the discounting curve in “qlSwapRateHelper2()”. Here you need to add the discounting curve: i.e. the obj in cell Step6_Bootstrap!F20. (in column U of these sheet you select the correct discount curve, but then it is not used in the swap Rate Helpers) In these way the Euribor6M curve is calculated (I can see the discount factor in sheet “Step7_Eur6M_Bootstrap”). What error do you have in sheet “Step7_Eur6M_Bootstrap” cell F21? Regards, Paolo -----Original Message----- Hi, I'm new to QuantLib. I'd like to use quantlib add-ins in the excel spreadsheet. I would like to bootstrap the swap vs 6 months curve assuming that the Eonia Curve is the discounting curve. Firstly, I create the Eonia Curve. Then, I set the EONIA Curve in the Discount Curve of the Swap Rate Helper when I built the SWAP vs 6M Curve, but it doesn't seem to work. Please find enclosed my excel file. I would reaaly appreciate if someone could help me to fix this spreadsheet. Thank you very much in advance. EoniaBootstrapQuantLib_v3.xlsx <http://quantlib.10058.n7.nabble.com/file/n16789/EoniaBootstrapQuantLib_v3.xlsx> -- View this message in context: http://quantlib.10058.n7.nabble.com/dual-bootstrapping-tp16789.html Sent from the quantlib-users mailing list archive at Nabble.com. ------------------------------------------------------------------------------ _______________________________________________ QuantLib-users mailing list
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------------------------------------------------------------------------------ _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users  Lezione_03_bootstrap&quantlib.pptx (1M) Download Attachment EoniaBootstrapQuantLib_v5.xlsx (235K) Download Attachment Esercizio_1_BootstrapEonia.xlsx (69K) Download Attachment |
Re: R: Re: dual bootstrapping
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Hi Silvia, I’ll take a look at your files in the following days (today I don’t have time). Regarding your question about Permanent and trigger you can find a description at this link
http://quantlib.org/quantlibxl/references.html
I attached a simple example workbook where I try to explain the usage of these parameters. If you try to modify cell “C2” (the trigger) you will see that the obj Eonia is recreated (the number of the obj is increased by one every time you modify that
cell). Then I try to recreate an obj with the same ID; if the parameter overwrite is set to TRUE I have no error, instead if the parameter is set to FALSE I have an
error, as you can see in cell “D9” (in this way you can not create an obj with the same ID in another sheet or cell, avoiding errors). Regards, Paolo From: BUTTARAZZI SILVIA (BP) [mailto:[hidden email]]
Thank you paolo, I did what you suggested and it was working properly (see attached file "EoniaBootstrapQuantlib_v5" ). Today I was making my file cleaner (I'd like to introduce quantlib in a course I will make at the university: if you have time you can look at the slides and
the file I was working on (still draft, I have still to add the test phase and the comparison with other bootstrapping output). Moreover I have a very basic question: What does the always blank parameters "
" mean? And why are they always left blank? If I was a student, I will surely ask... Thank you very much for your kind answer and helpful suggestions.
Regards. Da: MAZZOCCHI PAOLO [[hidden email]]
Hi Silvia, the problem in your workbook is that you use for the Eonia swap the function "qlSwapRateHelper". This function uses the settlement days of the index,
in this case 0 (Eonia index) . For this reason your Eonia swaps have the incorrect start date (today instead of today+2) and therefore all the other dates. To solve this problem you can use "qlOISRateHelper". Anyway, if you want to check the swap dates, you can use the function "qlSwapLegAnalysis" (as first things you need to convert your ratehelper to a vanillaswap,
using: qlVanillaSwapFromSwapRateHelper()). Regards, Paolo Da: BUTTARAZZI SILVIA
(BP) [[hidden email]] Hi Paolo, I'm trying to make a test of the results I got, although they are pretty similar to those I have in our Front Office System. Starting with EONIA: As you can see, I have very good results for the "like Deposit" Rates (TassoDeposito) I have some difference for the swap side (in particular I'm not understanding how QL build the future dates of the swap (TestTassoSwap). I know that differences
are small but since I'd like to understand why. Thank you very much in advance for your help.
Regards. Da: MAZZOCCHI PAOLO [[hidden email]]
Hi Silvia, > I forgot another important question: what should i do in order to perform the boostrap at a past date? To do that you have to select the evaluation date; you can change the evaluation date using “qlSettingsSetEvaluationDate()”. > How should I do to make it working? Where should I save the new downloaded files What files did you have downloaded? If you have the new “.xll” you can substitute the old one with this one. Regards, Paolo From: Silvia Buttarazzi [[hidden email]]
I forgot another important question: what should i do in order to perform the boostrap at a past date? Thank u very much in advance. Da: MAZZOCCHI PAOLO [via QuantLib] [mailto:ml-node+[hidden
email]] Hi Silvia, I took a look at your workbook. First of all, which version of QL you are using? (you can open a QL Excel session and use the function “ohversion()” with no parameters). I noticed that in the sheet “Step5_Eur6M_Config_Swap” you are not using the discounting curve in “qlSwapRateHelper2()”. Here you need to add the discounting curve: i.e. the obj in cell Step6_Bootstrap!F20. (in
column U of these sheet you select the correct discount curve, but then it is not used in the swap Rate Helpers)
In these way the Euribor6M curve is calculated (I can see the discount factor in sheet “Step7_Eur6M_Bootstrap”).
What error do you have in sheet “Step7_Eur6M_Bootstrap” cell F21? Regards, Paolo -----Original Message----- Hi, I'm new to QuantLib. I'd like to use quantlib add-ins in the excel spreadsheet. I would like to bootstrap the swap vs 6 months curve assuming that the Eonia Curve is the discounting curve. Firstly, I create the Eonia Curve. Then, I set the EONIA Curve in the Discount Curve of the Swap Rate Helper when I built the SWAP vs 6M Curve, but it doesn't seem to work. Please find enclosed my excel file. I would reaaly appreciate if someone could help me to fix this spreadsheet. Thank you very much in advance. EoniaBootstrapQuantLib_v3.xlsx <http://quantlib.10058.n7.nabble.com/file/n16789/EoniaBootstrapQuantLib_v3.xlsx>
-- View this message in context:
http://quantlib.10058.n7.nabble.com/dual-bootstrapping-tp16789.html Sent from the quantlib-users mailing list archive at Nabble.com. ------------------------------------------------------------------------------ _______________________________________________ QuantLib-users mailing list
If you reply to this email, your message will be added to the discussion below: http://quantlib.10058.n7.nabble.com/dual-bootstrapping-tp16789p16790.html
To unsubscribe from dual bootstrapping,
click here. La presente comunicazione elettronica contiene informazioni aziendali non private. Eventuali risposte alla presente potrebbero essere
conosciute, per motivi organizzativi e di sicurezza, dal personale di Poste Italiane S.p.A. View this message in context:
R: Re: dual bootstrapping
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