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thanks, it looks like Robert Philipp's method suits my purpose. On Thu, Jul 28, 2011 at 11:05 PM, <[hidden email]> wrote:
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Today's Topics:
1. way to shift curve (Shuo Wang)
2. Re: way to shift curve (Robert Philipp)
3. Quantlib with Python on Windows (Tiago Vieira)
4. Autocallable with trinomial tree (g m)
5. Re: way to shift curve (Bojan Nikolic)
6. QuantLib-SWIG 1.1 with Ruby 1.9 on Mac (Cyprian Kowalczyk)
7. TrinomialTree::descendant Usage (Smith, Dale)
---------- Forwarded message ----------
From: Shuo Wang <[hidden email]>
To: [hidden email]
Date: Sat, 23 Jul 2011 11:03:41 +0800
Subject: [Quantlib-users] way to shift curve
Hi,
I am very new to quantlib, may I know what is the easiest way to shift
a YieldTermStructure, at a key rate, say 5 year, up by 10bps?
--
Whatever your journey, keep walking.
---------- Forwarded message ----------
From: Robert Philipp <[hidden email]>
To: [hidden email]
Date: Sat, 23 Jul 2011 09:19:55 -0400
Subject: Re: [Quantlib-users] way to shift curve
Here is a code snippet to shock the entire curve. Just modify the spread vector to shock the points you like.
std::cout << "Shocking the term structure" << std::endl;
std::vector< Date > zeroDates( 180 );
std::vector< Handle< Quote> > spreads( 180 );
for( int t = 1; t < 2; ++t )
{
Date date = depoFutSwap->referenceDate() + Period( t, Months );
zeroDates.push_back( date );
spreads.push_back( Handle< Quote >( new SimpleQuote( 0.005 ) ) );
std::cout << date << std::endl;
}
std::cout << std::endl;
Handle< YieldTermStructure > depoFutSwapHandle( depoFutSwap, false );
PiecewiseZeroSpreadedTermStructure curve( depoFutSwapHandle, spreads, zeroDates );
std::cout << "Shocked Spot Rates and Forward Rates (Depo-Fut-Swap)" << std::endl;
for( Time t = 0; t < 180; ++t )
{
std::cout << t << ", " << curve.zeroRate( t / 12, Compounded ).rate()
<< ", " << curve.forwardRate( t/12, t/12, Compounded ).rate()
<< std::endl;
}
Robert Philipp
Synapse Financial Engineering
<a href="tel:703.623.4063" value="+17036234063" target="_blank">703.623.4063 (mobile)
<a href="tel:703.261.6799" value="+17032616799" target="_blank">703.261.6799 (fax)
[hidden email]
www.synapsefe.com
On 7/22/2011 11:03 PM, Shuo Wang wrote:
Hi,
I am very new to quantlib, may I know what is the easiest way to shift
a YieldTermStructure, at a key rate, say 5 year, up by 10bps?
---------- Forwarded message ----------
From: Tiago Vieira <tiagovieira.uk@googlemail.com>
To: [hidden email]
Date: Sun, 24 Jul 2011 16:19:21 +0100
Subject: [Quantlib-users] Quantlib with Python on Windows
Hello all
I had some troubles to have my Windows machine configured to use QuantLib through Python. Mac and Linux is quite a quick configuration, but on Windows with MinGW it was a big journey. I didn't want to use Microsoft Visual Studio to get involved in this process at all and as I use MinGW and EPD, I wanted to keep everything into this environment. So, after almost 2 days fighting, I got that working. So, I then created a tutorial which I believe can save the time for those who wants to achieve the same thing.
If you want to have a look, the link is: http://bit.ly/oG6HiQ
If you think there are a better compiler configuration (settings, variables, definitions, etc), I would be happy if you can share so then I update the post or redirect to your blog if you have one. If you have any question, few free to contact me in private. It worked on Windows XP and Windows Vista. Not sure if it will be the same as Windows 7.
Cheers,
Tiago
---------- Forwarded message ----------
From: g m <[hidden email]>
To: <[hidden email]>
Date: Tue, 26 Jul 2011 10:40:20 +0200
Subject: [Quantlib-users] Autocallable with trinomial tree
Hi all,
I'd like to price an autocallable on equity with conditional coupons, I checked the code for callable bond in ordre to get some ideas and I wonder if I can
use a trinomial tree scheme combined with an equity model.
Thank you for your help!
---------- Forwarded message ----------
From: Bojan Nikolic <[hidden email]>
To: [hidden email]
Date: Tue, 26 Jul 2011 10:08:27 +0100
Subject: Re: [Quantlib-users] way to shift curve
Depending on what you are trying to do, you may want to bump the
rate/price of one or more market observables and then re-build the
curve. In this way you can, for example, work out how well your hedges
in the liquid market instruments used that are used to build the curve
protect your illiquid portfolio that you are trying to value. This is
very easy to as all you need to do is bump the input data by required
amount and the curve is automatically rebuilt. I've posted a simple
example here:
http://www.bnikolic.co.uk/blog/ql-bumping-curve.html
--
Bojan Nikolic || http://www.bnikolic.co.uk
---------- Forwarded message ----------
From: Cyprian Kowalczyk <[hidden email]>
To: [hidden email]
Date: Thu, 28 Jul 2011 14:12:45 +0200
Subject: [Quantlib-users] QuantLib-SWIG 1.1 with Ruby 1.9 on Mac
Hello,
I am trying to make QuantLib working with Ruby 1.9 via SWIG.
I have QuantLib and SWIG installed and now trying to install QuantLib-SWIG 1.1. First I had problem with 'ftools' as it's depreciated in Ruby 1.9 - I used 'fileutils' instead but I get the following error while running 'ruby setup.rb build':
/usr/local/Cellar/quantlib/1.1/include/ql/methods/finitedifferences/finitedifferencemodel.hpp:109: warning: implicit conversion shortens 64-bit value into a 32-bit value
make: *** [quantlib_wrap.o] Error 1
Any hints on whether it's possible at all to make QuantLib talking with Ruby?
Thanks, Cyprian
---------- Forwarded message ----------
From: "Smith, Dale" <[hidden email]>
To: <[hidden email]>
Date: Thu, 28 Jul 2011 10:07:35 -0500
Subject: [Quantlib-users] TrinomialTree::descendant Usage
Hello,
I’ve looked at the implementation of TrinomialTree and
have a question about TrinomialTree::descendant. I’m assuming the tree
looks like the enclosed. I filled in the value of descendent(I,j,branch)
(branch = 0, 1, or 2).
What does descendent mean in this case? I did read the code,
made a copy of it and put in some print statements to see what’s
happening. I’m not able to determine how descendant is used. I’ve
also looked at TreeLattice<Impl>::stepback. In this method, descendant
would be the index into values, which I assume holds prices of the instrument
valued. However, this doesn’t give much light for me.
My goal is to implement a Hull-White tree with the discrete
alpha calculation, instead of the continuous-time implementation in the
HullWhite class. HullWhite gives values close to those of the example in their
1994 paper, but it’s not quite the same.
Thanks,
Dale Smith, Ph.D.
Senior Financial Quantitative Analyst
Risk & Compliance
Fiserv.
107 Technology Park
Norcross, GA 30092
Office: <a href="tel:678-375-5315" value="+16783755315" target="_blank">678-375-5315
Mobile: <a href="tel:678-982-6599" value="+16789826599" target="_blank">678-982-6599
Mail: [hidden email]
www.fiserv.com
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