Re: Quantlib-users digest, Vol 1 #950 - 4 msgs

[Mark joshi]

you don't need to simulate the first 5 years rates to price a 5 into
5: take the 10 yr bond as numeraire and work in the terminal measure.

regards

Mark

On 3/10/06, [hidden email]
<[hidden email]> wrote:

> Send Quantlib-users mailing list submissions to
>         [hidden email]
>
> To subscribe or unsubscribe via the World Wide Web, visit
>         https://lists.sourceforge.net/lists/listinfo/quantlib-users
> or, via email, send a message with subject or body 'help' to
>         [hidden email]
>
> You can reach the person managing the list at
>         [hidden email]
>
> When replying, please edit your Subject line so it is more specific
> than "Re: Contents of Quantlib-users digest..."
>
>
>
> Today's Topics:
>
>    1. Re: Excel + Quantlib (eric ehlers)
>    2. Re: blackvariancecurve question - used by the LMM code... (Ferdinando Ametrano)
>    3. What is the use the settlementDate argument in PiecewiseFlatForward? (ago)
>    4. Re: blackvariancecurve question - used by the LMM code... (Klaus Spanderen)
>
>
> Message: 1
> DomainKey-Signature: a=rsa-sha1; q=dns; c=nofws;
>         s=beta; d=gmail.com;
>         h=received:message-id:date:from:to:subject:cc:in-reply-to:mime-version:content-type:content-transfer-encoding:content-disposition:references;
>         b=smR8qMIT7MRXNp+Z2YujgI9yuxrdj2qRFuHa4myB7fITxN8IADXNGxkLCAXlKXFGIh9sDn4BOhvKNVjCj/bwcKN2uudj95bqCR5gM5b3trRc4miZVuaddrmjf0CNjy4QIJ3fXXDTfRTYFeArkJRuSSj4G+YuFREnwtY9ZYHYXD8=
> Message-ID: <[hidden email]>
> Date: Thu, 9 Mar 2006 09:51:30 +0000
> From: "eric ehlers" <[hidden email]>
> To: "Marco Ottolino" <[hidden email]>
> Subject: Re: [Quantlib-users] Excel + Quantlib
> Cc: [hidden email]
> In-Reply-To: <[hidden email]>
> MIME-Version: 1.0
> Content-Type: text/plain; charset=ISO-8859-1
> Content-Transfer-Encoding: quoted-printable
> Content-Disposition: inline
> References: <[hidden email]>
> Sender: [hidden email]
> Precedence: bulk
> List-Unsubscribe: <https://lists.sourceforge.net/lists/listinfo/quantlib-users>,
>         <mailto:[hidden email]?subject=unsubscribe>
> List-Id: QuantLib end-users discussion list <quantlib-users.lists.sourceforge.net>
> List-Post: <mailto:[hidden email]>
> List-Help: <mailto:[hidden email]?subject=help>
> List-Subscribe: <https://lists.sourceforge.net/lists/listinfo/quantlib-users>,
>         <mailto:[hidden email]?subject=subscribe>
> List-Archive: <http://sourceforge.net/mailarchive/forum.php?forum=quantlib-users>
>
> Hi Marco,
>
> The first thing is to confirm that you compiled your project with a
> debug configuration.  (There are ways to debug a release build but I
> don't advise trying that here).
>
> If breakpoints are malfulnctioning for a debug build it may mean that
> the debug information is corrupted, you could try deleting the pdb
> files and rebuilding.
>
> Regards,
> Eric
>
> On 3/8/06, Marco Ottolino <[hidden email]> wrote:
> >
> > I'm using quantlib in a DLL project wich Excel is linked to. Visual c.net
> > compiles project correctly. But when I try to debug it I get a very stran=
> ge
> > behaviour: runtime seems to jump some code lines. If I put break on it,
> > visual c.net jumps it at all. Probably it's just a trivial problem but I'=
> m
> > not able to solve it at all.
> > Thanks
> >
> > Marco Ottolino
> >
> >
> >
> > --
> >  No virus found in this outgoing message.
> >  Checked by AVG Free Edition.
> >  Version: 7.1.375 / Virus Database: 268.2.0/276 - Release Date: 07/03/200=
> 6
> >
>
>
>
> Message: 2
> DomainKey-Signature: a=rsa-sha1; q=dns; c=nofws;
>         s=beta; d=gmail.com;
>         h=received:message-id:date:from:sender:to:subject:cc:in-reply-to:mime-version:content-type:content-transfer-encoding:content-disposition:references;
>         b=t/ZltH5RzvGNrvcx5FFrGlegZlZ/EHcSTF5E63DsBNpq6sP/Hucmp+ucTM2gmN0rWT3ec0UkQfbZ7ofSfKQ2TBZuAItHKm3giJ6IbQKtMpY6LSUm4mz5k/FlnWzgXACT7rZOn4dXXzwyM5RuybpafMdMoVn99m+ecBWzJUvO8Ao=
> Message-ID: <[hidden email]>
> Date: Thu, 9 Mar 2006 12:34:59 +0100
> From: "Ferdinando Ametrano" <[hidden email]>
> To: [hidden email]
> Subject: Re: [Quantlib-users] blackvariancecurve question - used by the LMM code...
> Cc: [hidden email], [hidden email]
> In-Reply-To: <[hidden email]>
> MIME-Version: 1.0
> Content-Type: text/plain; charset=ISO-8859-1
> Content-Transfer-Encoding: quoted-printable
> Content-Disposition: inline
> References: <[hidden email]>
>          <[hidden email]>
>          <[hidden email]>
>          <[hidden email]>
> Sender: [hidden email]
> Precedence: bulk
> List-Unsubscribe: <https://lists.sourceforge.net/lists/listinfo/quantlib-users>,
>         <mailto:[hidden email]?subject=unsubscribe>
> List-Id: QuantLib end-users discussion list <quantlib-users.lists.sourceforge.net>
> List-Post: <mailto:[hidden email]>
> List-Help: <mailto:[hidden email]?subject=help>
> List-Subscribe: <https://lists.sourceforge.net/lists/listinfo/quantlib-users>,
>         <mailto:[hidden email]?subject=subscribe>
> List-Archive: <http://sourceforge.net/mailarchive/forum.php?forum=quantlib-users>
>
> On 3/8/06, Klaus Spanderen <[hidden email]> wrote:
> > todays spot caplet volatilities [...] are needed to bootstrapp internal p=
> arameters,
> > which define the [LMM] covariance matrices. std::vector<Volatility> would=
>  work
> > instead of CapletVarianceCurve.
> agreed. The square of the elements of that vector multiplied with
> their respective expiry times (i.e. caplet variances) are NOT required
> to be an increasing function of time.
>
> > Using this [BlackVarianceCurve ] class lazy users don't have to define a
> > caplet volatility for each and every fixing date. Instead linear
> > interpolation of the caplet variances is used and BlackVarianceCurve is i=
> n
> > charge for this operations.
> BlackVarianceCurve is the wrong class for this task. The apparent
> similar interface between  BlackVarianceCurve and the caplet vol
> interpolator should not hide the fact that we're concened about the
> variance of a single factor vs the variance of many factors. For a
> single factor variances must be an increasing function of time: this
> is an intrinsic constaint and it is the main rationale behind the
> BlackVarianceCurve class. This same rationale means that=20
> BlackVarianceCurve should not be used for caplet variances
>
> > > I suggest to digest Rebonato's discussion about it as guideline.
> >
> > hmm. The intention of CapletVarianceCurve was to have a market data conta=
> iner
> > for spot caplet volatilities for different terms and a given period lengt=
> h.
> > (No link to libor market models.).
> Rebonato's discussion I'm referring to is about spot caplet vol
> constraints. He shows that if caplet variances are an increasing
> fuction of time this has nothing to do with the intrinsic constraint
> for single factor, but it is related to time-homogenous evolution of
> the multifactor caplet variances. These results are indipendent of any
> modelling assumption.
>
> > The class LmVolatilityModel is used to
> > model the volatilities within a libor forward model (process). I guess th=
> is
> > is what you are behind as it defines for each time a vector of volatiliti=
> es
> > for the different underlying of a libor forward model process.
> If I got it right LmVolatilityModel is the LMM core dynamic. The class
> for caplet variance might be std::vector<Volatility> plus an
> interpolation method, without further constraints.
>
> ciao -- nando
>
>
>
> Message: 3
> To: [hidden email]
> From:  ago <[hidden email]>
> Date: Thu, 9 Mar 2006 11:58:30 +0000 (UTC)
> Lines: 4
> Message-ID:  <[hidden email]>
> Mime-Version:  1.0
> Content-Type:  text/plain; charset=us-ascii
> Content-Transfer-Encoding:  7bit
> User-Agent: Loom/3.14 (http://gmane.org/)
> Subject: [Quantlib-users] What is the use the settlementDate argument in PiecewiseFlatForward?
> Sender: [hidden email]
> Precedence: bulk
> List-Unsubscribe: <https://lists.sourceforge.net/lists/listinfo/quantlib-users>,
>         <mailto:[hidden email]?subject=unsubscribe>
> List-Id: QuantLib end-users discussion list <quantlib-users.lists.sourceforge.net>
> List-Post: <mailto:[hidden email]>
> List-Help: <mailto:[hidden email]?subject=help>
> List-Subscribe: <https://lists.sourceforge.net/lists/listinfo/quantlib-users>,
>         <mailto:[hidden email]?subject=subscribe>
> List-Archive: <http://sourceforge.net/mailarchive/forum.php?forum=quantlib-users>
>
> The settlement date, as I learn (thanks Luigi), is set by
> Settings.instance().evaluationDate()
>
> So what is the use of the settlementDate argument in PiecewiseFlatForward?
>
>
>
>
> Message: 4
> From: Klaus Spanderen <[hidden email]>
> Reply-To: [hidden email]
> To: "Toyin Akin" <[hidden email]>
> Subject: Re: [Quantlib-users] blackvariancecurve question - used by the LMM code...
> Date: Thu, 9 Mar 2006 05:53:14 +0100
> User-Agent: KMail/1.5.4
> References: <[hidden email]>
> In-Reply-To: <[hidden email]>
> Cc: [hidden email]
> MIME-Version: 1.0
> Content-Type: text/plain;
>   charset="iso-8859-1"
> Content-Transfer-Encoding: 7bit
> Content-Disposition: inline
> Message-Id: <[hidden email]>
> Sender: [hidden email]
> Precedence: bulk
> List-Unsubscribe: <https://lists.sourceforge.net/lists/listinfo/quantlib-users>,
>         <mailto:[hidden email]?subject=unsubscribe>
> List-Id: QuantLib end-users discussion list <quantlib-users.lists.sourceforge.net>
> List-Post: <mailto:[hidden email]>
> List-Help: <mailto:[hidden email]?subject=help>
> List-Subscribe: <https://lists.sourceforge.net/lists/listinfo/quantlib-users>,
>         <mailto:[hidden email]?subject=subscribe>
> List-Archive: <http://sourceforge.net/mailarchive/forum.php?forum=quantlib-users>
>
> Hi Toyin,
>
> On Wednesday 08 March 2006 4:39 am, Toyin Akin wrote:
> > Thus from the current implementation, if one wanted to price a 5Y into 5Y
> > ratchet cap, one would have to simulate the Libors from Spot into 10Y, but
> > discard the first 5 years!!!
>
> The first 5 years are needed to define the discount factors for a path as you
> stated. Unless you don't want to use an approximation (IMO) we have to
> simulate them if you want to have todays npv.
>
> To speed-up the simulation, LiborForwardModelProcess::evolve is the best
> starting point. The predictor-correction step is implmented within 3 line -
> short, only possible in Quantlib - but this implementation is pretty slow.
> Rolling out this calculation will speed-up the MC-Simulations by a factor 2-5
> I guess. Give me time over the weekend, I'll check this out.
>
> cheers
>  Klaus
>
>
>
>
>
>
>
> _______________________________________________
> Quantlib-users mailing list
> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>
>
>
>

[Klaus Spanderen]

Hi Mark,

Unfortunately at the time being the LFM process supports only the rolling
forward measure and I don't know how to fulfil Toyin requirements using this
measure. Any thoughts?

cheers
 Klaus

On Friday 10 March 2006 5:17 am, Mark joshi wrote:
> you don't need to simulate the first 5 years rates to price a 5 into
> 5: take the 10 yr bond as numeraire and work in the terminal measure.
>
> regards
>
> Mark

[Toyin Akin]

Hi,

What do you think of the following...

Let's say a client structure starts in 4.5 months and it uses 3 months
fixings...

Let's assume that we have no choice but to simulate all the fixings before
this.
Generating the fixings should be no problem except the very first one which
starts 1.5 months before the caluculation date. This rate has to be fixed,
so the user should supply this rate.

Does that solve the problem of a client structure starting from any time
point. We write an algorithm which given the start date, computes the fixing
date of the forward just below or at the calculation date. If before the
calculation date the user provides a fixing value via either the
IndexManager or as a parameter to the LMM process object.

The good thing about this is that you do no have to simulate this first
fixing value.

Thoughts...

Best Regards,
Toyin Akin.

>From: Klaus Spanderen <[hidden email]>
>Reply-To: [hidden email]
>To: "Mark joshi" <[hidden email]>
>CC: [hidden email]
>Subject: Re: [Quantlib-users] Re: Quantlib-users digest, Vol 1 #950 - 4
>msgs
>Date: Fri, 10 Mar 2006 06:31:49 +0100
>
>Hi Mark,
>
>Unfortunately at the time being the LFM process supports only the rolling
>forward measure and I don't know how to fulfil Toyin requirements using
>this
>measure. Any thoughts?
>
>cheers
>  Klaus
>
>On Friday 10 March 2006 5:17 am, Mark joshi wrote:
> > you don't need to simulate the first 5 years rates to price a 5 into
> > 5: take the 10 yr bond as numeraire and work in the terminal measure.
> >
> > regards
> >
> > Mark
>
>
>
>-------------------------------------------------------
>This SF.Net email is sponsored by xPML, a groundbreaking scripting language
>that extends applications into web and mobile media. Attend the live
>webcast
>and join the prime developer group breaking into this new coding territory!
>http://sel.as-us.falkag.net/sel?cmd=lnk&kid=110944&bid=241720&dat=121642
>_______________________________________________
>Quantlib-users mailing list
>[hidden email]
>https://lists.sourceforge.net/lists/listinfo/quantlib-users