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]]
Inviato: Monday, August 17, 2015 03:41 PM A: BUTTARAZZI SILVIA (BP) Oggetto: Re: dual bootstrapping 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 Prima di stampare, pensa all'ambiente ** Think about the environment before printing Il presente messaggio, inclusi gli eventuali allegati, ha natura aziendale e potrebbe contenere informazioni confidenziali e/o riservate. Chiunque lo ricevesse per errore, è pregato di avvisare tempestivamente il mittente e di cancellarlo. E’ strettamente vietata qualsiasi forma di utilizzo, riproduzione o diffusione non autorizzata del contenuto di questo messaggio o di parte di esso. Pur essendo state assunte le dovute precauzioni per ridurre al minimo il rischio di trasmissione di virus, si suggerisce di effettuare gli opportuni controlli sui documenti allegati al presente messaggio. Non si assume alcuna responsabilità per eventuali danni o perdite derivanti dalla presenza di virus. Per lo svolgimento delle attività di investimento nel Regno Unito, la società è autorizzata da Banca d'Italia ed è soggetta alla vigilanza limitata della Financial Conduct Authority ( FCA ) e della Prudential Regulation Authority ( PRA ) . Maggiori informazioni in merito ai poteri di vigilanza della Financial Conduct Authority ( FCA ) e della Prudential Regulation Authority ( PRA ) sono a disposizione previa richiesta. Nel Regno Unito Intesa Sanpaolo S.p.A. opera attraverso la filiale di Londra, sita in 90 Queen Street, London EC4N 1SA, registrata in Inghilterra & Galles sotto No.FC016201, Branch No.BR000036 In osservanza dei requisito imposti dal Internal Revenue Service (Agenzia delle Entrate degli Stati Uniti), qualunque discussione relativa a temi di natura fiscale contenuta in questo messaggio o nei suoi allegati non e’ intesa ne’ e’ stata scritta per essere utilizzata, ne’ puo’ essere utilizata per (i) evitare l’imposizione di gravami fiscali secondo il codice tributario vigente negli Stati Uniti o (ii) per promuovere, sollecitare o raccomandare una operazione finanziaria o altra transazione indirizzata ad un altro destinatario. Nella Repubblica d’Irlanda, Intesa Sanpaolo Bank Ireland plc è regolamentata dalla Banca Centrale d’Irlanda ed è parte del Gruppo Bancario Intesa Sanpaolo S.p.A. Registrata in Irlanda come società numero 125216 – IVA Reg. IE4817418C IE, sita in, KBC House, 4 George Dock, IFSC, Dublino 1, Irlanda. *** This email (including any attachment) is a corporate message and may contain confidential and/or privileged and/or proprietary information. If you have received this email in error, please notify the sender immediately, do not use or share it and destroy this email. Any unauthorised use, copying or disclosure of the material in this email or of parts hereof (including reliance thereon) is strictly forbidden. We have taken precautions to minimize the risk of transmitting software viruses but nevertheless advise you to carry out your own virus checks on any attachment of this message. We accept no liability for loss or damage caused by software viruses. For the conduct of investment business in the UK, the Company is authorised by Banca d’Italia and subject to limited regulation in the UK by the Financial Conduct Authority ( FCA ) and the Prudential Regulation Authority ( PRA ). Details about the extent of our regulation by the Financial Conduct Authority ( FCA ) and the Prudential Regulation Authority ( PRA ) are available from us on request. In the UK Intesa Sanpaolo S.p.A. operates through its London Branch, located at 90 Queen Street, London EC4N 1SA. Registered in England & Wales under No.FC016201, Branch No.BR000036 To comply with requirements imposed by the IRS, we inform you that any discussion of U.S. federal tax issues contained herein (including any attachments) was not intended or written to be used, and cannot be used by you, for the purpose of (i) avoiding penalties under the Internal Revenue Code or (ii) promoting, marketing or recommending any transaction or matter addressed herein to another party. In the Republic of Ireland, Intesa Sanpaolo Bank Ireland plc is regulated by the Central Bank of Ireland and is a member of the Intesa Sanpaolo Group. It is registered in Ireland as company no.125216 – VAT Reg. No. IE 4817418C and located at, 3rd Floor, KBC House, 4 George’s Dock, IFSC, Dublin 1, Ireland. ------------------------------------------------------------------------------ _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users If you reply to this email, your message will be added to the discussion below:
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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:
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R: Re: dual bootstrapping Prima di stampare, pensa all'ambiente ** Think about the environment before printing Il presente messaggio, inclusi gli eventuali allegati, ha natura aziendale e potrebbe contenere informazioni confidenziali e/o riservate. Chiunque lo ricevesse per errore, è pregato di avvisare tempestivamente il mittente e di cancellarlo. E’ strettamente vietata qualsiasi forma di utilizzo, riproduzione o diffusione non autorizzata del contenuto di questo messaggio o di parte di esso. Pur essendo state assunte le dovute precauzioni per ridurre al minimo il rischio di trasmissione di virus, si suggerisce di effettuare gli opportuni controlli sui documenti allegati al presente messaggio. Non si assume alcuna responsabilità per eventuali danni o perdite derivanti dalla presenza di virus. Per lo svolgimento delle attività di investimento nel Regno Unito, la società è autorizzata da Banca d'Italia ed è soggetta alla vigilanza limitata della Financial Conduct Authority ( FCA ) e della Prudential Regulation Authority ( PRA ) . Maggiori informazioni in merito ai poteri di vigilanza della Financial Conduct Authority ( FCA ) e della Prudential Regulation Authority ( PRA ) sono a disposizione previa richiesta. Nel Regno Unito Intesa Sanpaolo S.p.A. opera attraverso la filiale di Londra, sita in 90 Queen Street, London EC4N 1SA, registrata in Inghilterra & Galles sotto No.FC016201, Branch No.BR000036 In osservanza dei requisito imposti dal Internal Revenue Service (Agenzia delle Entrate degli Stati Uniti), qualunque discussione relativa a temi di natura fiscale contenuta in questo messaggio o nei suoi allegati non e’ intesa ne’ e’ stata scritta per essere utilizzata, ne’ puo’ essere utilizata per (i) evitare l’imposizione di gravami fiscali secondo il codice tributario vigente negli Stati Uniti o (ii) per promuovere, sollecitare o raccomandare una operazione finanziaria o altra transazione indirizzata ad un altro destinatario. Nella Repubblica d’Irlanda, Intesa Sanpaolo Bank Ireland plc è regolamentata dalla Banca Centrale d’Irlanda ed è parte del Gruppo Bancario Intesa Sanpaolo S.p.A. Registrata in Irlanda come società numero 125216 – IVA Reg. IE4817418C IE, sita in, KBC House, 4 George Dock, IFSC, Dublino 1, Irlanda. *** This email (including any attachment) is a corporate message and may contain confidential and/or privileged and/or proprietary information. If you have received this email in error, please notify the sender immediately, do not use or share it and destroy this email. Any unauthorised use, copying or disclosure of the material in this email or of parts hereof (including reliance thereon) is strictly forbidden. We have taken precautions to minimize the risk of transmitting software viruses but nevertheless advise you to carry out your own virus checks on any attachment of this message. We accept no liability for loss or damage caused by software viruses. For the conduct of investment business in the UK, the Company is authorised by Banca d’Italia and subject to limited regulation in the UK by the Financial Conduct Authority ( FCA ) and the Prudential Regulation Authority ( PRA ). Details about the extent of our regulation by the Financial Conduct Authority ( FCA ) and the Prudential Regulation Authority ( PRA ) are available from us on request. In the UK Intesa Sanpaolo S.p.A. operates through its London Branch, located at 90 Queen Street, London EC4N 1SA. Registered in England & Wales under No.FC016201, Branch No.BR000036 To comply with requirements imposed by the IRS, we inform you that any discussion of U.S. federal tax issues contained herein (including any attachments) was not intended or written to be used, and cannot be used by you, for the purpose of (i) avoiding penalties under the Internal Revenue Code or (ii) promoting, marketing or recommending any transaction or matter addressed herein to another party. In the Republic of Ireland, Intesa Sanpaolo Bank Ireland plc is regulated by the Central Bank of Ireland and is a member of the Intesa Sanpaolo Group. It is registered in Ireland as company no.125216 – VAT Reg. No. IE 4817418C and located at, 3rd Floor, KBC House, 4 George’s Dock, IFSC, Dublin 1, Ireland. ------------------------------------------------------------------------------ _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
Thank u very much indeed.
Regards
Da: MAZZOCCHI PAOLO [mailto:[hidden email]]
Inviato: Tuesday, August 18, 2015 09:29 AM A: BUTTARAZZI SILVIA (BP) Cc: [hidden email] <[hidden email]> Oggetto: RE: [Quantlib-users] R: Re: dual bootstrapping 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:
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R: Re: dual bootstrapping Prima di stampare, pensa all'ambiente ** Think about the environment before printing Il presente messaggio, inclusi gli eventuali allegati, ha natura aziendale e potrebbe contenere informazioni confidenziali e/o riservate. Chiunque lo ricevesse per errore, è pregato di avvisare tempestivamente il mittente e di cancellarlo. E’ strettamente vietata qualsiasi forma di utilizzo, riproduzione o diffusione non autorizzata del contenuto di questo messaggio o di parte di esso. Pur essendo state assunte le dovute precauzioni per ridurre al minimo il rischio di trasmissione di virus, si suggerisce di effettuare gli opportuni controlli sui documenti allegati al presente messaggio. Non si assume alcuna responsabilità per eventuali danni o perdite derivanti dalla presenza di virus. Per lo svolgimento delle attività di investimento nel Regno Unito, la società è autorizzata da Banca d'Italia ed è soggetta alla vigilanza limitata della Financial Conduct Authority ( FCA ) e della Prudential Regulation Authority ( PRA ) . Maggiori informazioni in merito ai poteri di vigilanza della Financial Conduct Authority ( FCA ) e della Prudential Regulation Authority ( PRA ) sono a disposizione previa richiesta. Nel Regno Unito Intesa Sanpaolo S.p.A. opera attraverso la filiale di Londra, sita in 90 Queen Street, London EC4N 1SA, registrata in Inghilterra & Galles sotto No.FC016201, Branch No.BR000036 In osservanza dei requisito imposti dal Internal Revenue Service (Agenzia delle Entrate degli Stati Uniti), qualunque discussione relativa a temi di natura fiscale contenuta in questo messaggio o nei suoi allegati non e’ intesa ne’ e’ stata scritta per essere utilizzata, ne’ puo’ essere utilizata per (i) evitare l’imposizione di gravami fiscali secondo il codice tributario vigente negli Stati Uniti o (ii) per promuovere, sollecitare o raccomandare una operazione finanziaria o altra transazione indirizzata ad un altro destinatario. Nella Repubblica d’Irlanda, Intesa Sanpaolo Bank Ireland plc è regolamentata dalla Banca Centrale d’Irlanda ed è parte del Gruppo Bancario Intesa Sanpaolo S.p.A. Registrata in Irlanda come società numero 125216 – IVA Reg. IE4817418C IE, sita in, KBC House, 4 George Dock, IFSC, Dublino 1, Irlanda. *** This email (including any attachment) is a corporate message and may contain confidential and/or privileged and/or proprietary information. If you have received this email in error, please notify the sender immediately, do not use or share it and destroy this email. Any unauthorised use, copying or disclosure of the material in this email or of parts hereof (including reliance thereon) is strictly forbidden. We have taken precautions to minimize the risk of transmitting software viruses but nevertheless advise you to carry out your own virus checks on any attachment of this message. We accept no liability for loss or damage caused by software viruses. For the conduct of investment business in the UK, the Company is authorised by Banca d’Italia and subject to limited regulation in the UK by the Financial Conduct Authority ( FCA ) and the Prudential Regulation Authority ( PRA ). Details about the extent of our regulation by the Financial Conduct Authority ( FCA ) and the Prudential Regulation Authority ( PRA ) are available from us on request. In the UK Intesa Sanpaolo S.p.A. operates through its London Branch, located at 90 Queen Street, London EC4N 1SA. Registered in England & Wales under No.FC016201, Branch No.BR000036 To comply with requirements imposed by the IRS, we inform you that any discussion of U.S. federal tax issues contained herein (including any attachments) was not intended or written to be used, and cannot be used by you, for the purpose of (i) avoiding penalties under the Internal Revenue Code or (ii) promoting, marketing or recommending any transaction or matter addressed herein to another party. In the Republic of Ireland, Intesa Sanpaolo Bank Ireland plc is regulated by the Central Bank of Ireland and is a member of the Intesa Sanpaolo Group. It is registered in Ireland as company no.125216 – VAT Reg. No. IE 4817418C and located at, 3rd Floor, KBC House, 4 George’s Dock, IFSC, Dublin 1, Ireland. ------------------------------------------------------------------------------ _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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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------------------------------------------------------------------------------ _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users EoniaBootstrapQuantLib_v4.xlsx (231K) Download Attachment |
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]]
Inviato: martedì 18 agosto 2015 18.40 A: MAZZOCCHI PAOLO Cc: [hidden email] Oggetto: R: [Quantlib-users] R: Re: dual bootstrapping 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.
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click here.
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R: Re: dual bootstrapping
Prima di stampare, pensa all'ambiente ** Think about the environment before printing Il presente messaggio, inclusi gli eventuali allegati, ha natura aziendale e potrebbe contenere informazioni confidenziali e/o riservate. Chiunque lo ricevesse per errore, è pregato di avvisare tempestivamente il mittente e di cancellarlo. E’ strettamente vietata qualsiasi forma di utilizzo, riproduzione o diffusione non autorizzata del contenuto di questo messaggio o di parte di esso. Pur essendo state assunte le dovute precauzioni per ridurre al minimo il rischio di trasmissione di virus, si suggerisce di effettuare gli opportuni controlli sui documenti allegati al presente messaggio. Non si assume alcuna responsabilità per eventuali danni o perdite derivanti dalla presenza di virus. Per lo svolgimento delle attività di investimento nel Regno Unito, la società è autorizzata da Banca d'Italia ed è soggetta alla vigilanza limitata della Financial Conduct Authority ( FCA ) e della Prudential Regulation Authority ( PRA ) . Maggiori informazioni in merito ai poteri di vigilanza della Financial Conduct Authority ( FCA ) e della Prudential Regulation Authority ( PRA ) sono a disposizione previa richiesta. Nel Regno Unito Intesa Sanpaolo S.p.A. opera attraverso la filiale di Londra, sita in 90 Queen Street, London EC4N 1SA, registrata in Inghilterra & Galles sotto No.FC016201, Branch No.BR000036 In osservanza dei requisito imposti dal Internal Revenue Service (Agenzia delle Entrate degli Stati Uniti), qualunque discussione relativa a temi di natura fiscale contenuta in questo messaggio o nei suoi allegati non e’ intesa ne’ e’ stata scritta per essere utilizzata, ne’ puo’ essere utilizata per (i) evitare l’imposizione di gravami fiscali secondo il codice tributario vigente negli Stati Uniti o (ii) per promuovere, sollecitare o raccomandare una operazione finanziaria o altra transazione indirizzata ad un altro destinatario. Nella Repubblica d’Irlanda, Intesa Sanpaolo Bank Ireland plc è regolamentata dalla Banca Centrale d’Irlanda ed è parte del Gruppo Bancario Intesa Sanpaolo S.p.A. Registrata in Irlanda come società numero 125216 – IVA Reg. IE4817418C IE, sita in, KBC House, 4 George Dock, IFSC, Dublino 1, Irlanda. *** This email (including any attachment) is a corporate message and may contain confidential and/or privileged and/or proprietary information. If you have received this email in error, please notify the sender immediately, do not use or share it and destroy this email. Any unauthorised use, copying or disclosure of the material in this email or of parts hereof (including reliance thereon) is strictly forbidden. We have taken precautions to minimize the risk of transmitting software viruses but nevertheless advise you to carry out your own virus checks on any attachment of this message. We accept no liability for loss or damage caused by software viruses. For the conduct of investment business in the UK, the Company is authorised by Banca d’Italia and subject to limited regulation in the UK by the Financial Conduct Authority ( FCA ) and the Prudential Regulation Authority ( PRA ). Details about the extent of our regulation by the Financial Conduct Authority ( FCA ) and the Prudential Regulation Authority ( PRA ) are available from us on request. In the UK Intesa Sanpaolo S.p.A. operates through its London Branch, located at 90 Queen Street, London EC4N 1SA. Registered in England & Wales under No.FC016201, Branch No.BR000036 To comply with requirements imposed by the IRS, we inform you that any discussion of U.S. federal tax issues contained herein (including any attachments) was not intended or written to be used, and cannot be used by you, for the purpose of (i) avoiding penalties under the Internal Revenue Code or (ii) promoting, marketing or recommending any transaction or matter addressed herein to another party. In the Republic of Ireland, Intesa Sanpaolo Bank Ireland plc is regulated by the Central Bank of Ireland and is a member of the Intesa Sanpaolo Group. It is registered in Ireland as company no.125216 – VAT Reg. No. IE 4817418C and located at, 3rd Floor, KBC House, 4 George’s Dock, IFSC, Dublin 1, Ireland. ------------------------------------------------------------------------------ _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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 |
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:
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R: Re: dual bootstrapping
Prima di stampare, pensa all'ambiente ** Think about the environment before printing Il presente messaggio, inclusi gli eventuali allegati, ha natura aziendale e potrebbe contenere informazioni confidenziali e/o riservate. Chiunque lo ricevesse per errore, è pregato di avvisare tempestivamente il mittente e di cancellarlo. E’ strettamente vietata qualsiasi forma di utilizzo, riproduzione o diffusione non autorizzata del contenuto di questo messaggio o di parte di esso. Pur essendo state assunte le dovute precauzioni per ridurre al minimo il rischio di trasmissione di virus, si suggerisce di effettuare gli opportuni controlli sui documenti allegati al presente messaggio. Non si assume alcuna responsabilità per eventuali danni o perdite derivanti dalla presenza di virus. Per lo svolgimento delle attività di investimento nel Regno Unito, la società è autorizzata da Banca d'Italia ed è soggetta alla vigilanza limitata della Financial Conduct Authority ( FCA ) e della Prudential Regulation Authority ( PRA ) . Maggiori informazioni in merito ai poteri di vigilanza della Financial Conduct Authority ( FCA ) e della Prudential Regulation Authority ( PRA ) sono a disposizione previa richiesta. Nel Regno Unito Intesa Sanpaolo S.p.A. opera attraverso la filiale di Londra, sita in 90 Queen Street, London EC4N 1SA, registrata in Inghilterra & Galles sotto No.FC016201, Branch No.BR000036 In osservanza dei requisito imposti dal Internal Revenue Service (Agenzia delle Entrate degli Stati Uniti), qualunque discussione relativa a temi di natura fiscale contenuta in questo messaggio o nei suoi allegati non e’ intesa ne’ e’ stata scritta per essere utilizzata, ne’ puo’ essere utilizata per (i) evitare l’imposizione di gravami fiscali secondo il codice tributario vigente negli Stati Uniti o (ii) per promuovere, sollecitare o raccomandare una operazione finanziaria o altra transazione indirizzata ad un altro destinatario. Nella Repubblica d’Irlanda, Intesa Sanpaolo Bank Ireland plc è regolamentata dalla Banca Centrale d’Irlanda ed è parte del Gruppo Bancario Intesa Sanpaolo S.p.A. Registrata in Irlanda come società numero 125216 – IVA Reg. IE4817418C IE, sita in, KBC House, 4 George Dock, IFSC, Dublino 1, Irlanda. *** This email (including any attachment) is a corporate message and may contain confidential and/or privileged and/or proprietary information. If you have received this email in error, please notify the sender immediately, do not use or share it and destroy this email. Any unauthorised use, copying or disclosure of the material in this email or of parts hereof (including reliance thereon) is strictly forbidden. We have taken precautions to minimize the risk of transmitting software viruses but nevertheless advise you to carry out your own virus checks on any attachment of this message. We accept no liability for loss or damage caused by software viruses. For the conduct of investment business in the UK, the Company is authorised by Banca d’Italia and subject to limited regulation in the UK by the Financial Conduct Authority ( FCA ) and the Prudential Regulation Authority ( PRA ). Details about the extent of our regulation by the Financial Conduct Authority ( FCA ) and the Prudential Regulation Authority ( PRA ) are available from us on request. In the UK Intesa Sanpaolo S.p.A. operates through its London Branch, located at 90 Queen Street, London EC4N 1SA. Registered in England & Wales under No.FC016201, Branch No.BR000036 To comply with requirements imposed by the IRS, we inform you that any discussion of U.S. federal tax issues contained herein (including any attachments) was not intended or written to be used, and cannot be used by you, for the purpose of (i) avoiding penalties under the Internal Revenue Code or (ii) promoting, marketing or recommending any transaction or matter addressed herein to another party. In the Republic of Ireland, Intesa Sanpaolo Bank Ireland plc is regulated by the Central Bank of Ireland and is a member of the Intesa Sanpaolo Group. It is registered in Ireland as company no.125216 – VAT Reg. No. IE 4817418C and located at, 3rd Floor, KBC House, 4 George’s Dock, IFSC, Dublin 1, Ireland. ------------------------------------------------------------------------------ _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users Example.xls (33K) Download Attachment |
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