Sample Excel spreddshet to build US Swap/Zero curve
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Sample Excel spreddshet to build US Swap/Zero curve
 
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Does anyone by chance has a sample excel spreadsheet to build a US zero
curve( from deposits, futures, swaps). Ideally spreadsheet that uses bloomberg as data source. _________________________________________________________________ Learn.Laugh.Share. Reallivemoms is right place! http://www.reallivemoms.com?ocid=TXT_TAGHM&loc=us ------------------------------------------------------------------------- This SF.net email is sponsored by: Splunk Inc. Still grepping through log files to find problems? Stop. Now Search log events and configuration files using AJAX and a browser. Download your FREE copy of Splunk now >> http://get.splunk.com/ _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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Hi all, is there in QuantLib the possibility to price Long or Short coupons? As an example, consider a bond paying Euribor 6m but the first coupon is short and lasts 5m and a half: is there the possibility to handle this situation? In fact in this case the Euribor paid should be a sort of weighted average between Eribor 5m and Euribor 6m. I remember that in previous releases there were such classes, even if not completely implemented. Thanks Marco Il presente messaggio di posta elettronica e i suoi allegati sono destinati esclusivamente e personalmente al/ai destinatario/i e possono contenere informazioni di carattere riservato. Qualora non fosse il destinatario del presente messaggio la preghiamo di avvertirci immediatamente tramite posta elettronica o telefonicamente e di cancellare il presente messaggio e i suoi allegati dalla sua casella di posta elettronica e dai suoi sistemi. E’vietato copiare, utilizzare, comunicare e divulgare il presente messaggio senza autorizzazione. Questo messaggio non costituisce una sollecitazione all'investimento o un'offerta di acquisto o di vendita di strumenti finanziari o una conferma formale di un’operazione. Gruppo Banca Leonardo è impegnata solo dalle dichiarazioni dei propri legali rappresentanti. Poiché le trasmissioni elettroniche non garantiscono la sicurezza e la correttezza dei dati, non assumiamo alcuna responsabilità in merito alla completezza e accuratezza delle informazioni contenute nel presente messaggio. L'indirizzo di posta elettronica dal quale viene inviato il presente messaggio non é un indirizzo privato del mittente. Si avverte che le risposte a questo messaggio potrebbero essere conosciute nell'organizzazione del mittente, nei limiti e con le procedure di legge. This e-mail and its attachment(s) are intended solely for the personal and confidential use of the addressee(s). If you are not the intended recipient of this message please notify us immediately by reply e-mail or by telephone and then delete this message and any file attached from your inbox and systems. Any unauthorized copy, use, disclosure, dissemination of this message is strictly prohibited. This communication should not be regarded as a solicitation or as an offer to sell or to buy any financial product, an official confirmation of any transaction, or as an official statement of Gruppo Banca Leonardo. E-mail transmissions cannot be guaranteed to be secure or error-free. Therefore, no representation is made that this information is complete or accurate and it should not be relied upon as such. The e-mail address from which this message is being sent is not private to the sender. Please note that responses to this message could be known in the sender's organization, in compliance with the mandatory limits and procedures. ------------------------------------------------------------------------- This SF.net email is sponsored by: Splunk Inc. Still grepping through log files to find problems? Stop. Now Search log events and configuration files using AJAX and a browser. Download your FREE copy of Splunk now >> http://get.splunk.com/ _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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Hi Marco, short or long coupon are handled in the schedule, where you have the possibility to 1) input first date for a short or long coupon and nextToLastDate for short or long last coupon 2) choose the nominal dates generation method backward starting from the next to last date or forward starting from the first date. I hope this will help.
Chiara
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In reply to this post by marco.tarenghi
Ok Marco, I’ve got it. What you’re describing isn’t handled yet for coupon which have been already fixed.
Chiara
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In reply to this post by marco.tarenghi
Hello,
I confirm that this interpolation is market standard (e.g.
Murex).
ciao
Marco
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Thanks Marco, Murex is exactly where I checked. Still I think this is not Handled in QuantLib, I'm trying to write some specific code about it. Bye Marco
Hello, I confirm that this interpolation is market standard (e.g. Murex). ciao Marco -----Original Message----- From: [hidden email] [mailto:[hidden email]]On Behalf Of [hidden email] Sent: 29 August 2007 09:44 To: [hidden email] Subject: [Quantlib-users] Long/Short coupon Hi all, is there in QuantLib the possibility to price Long or Short coupons? As an example, consider a bond paying Euribor 6m but the first coupon is short and lasts 5m and a half: is there the possibility to handle this situation? In fact in this case the Euribor paid should be a sort of weighted average between Eribor 5m and Euribor 6m. I remember that in previous releases there were such classes, even if not completely implemented. Thanks Marco Il presente messaggio di posta elettronica e i suoi allegati sono destinati esclusivamente e personalmente al/ai destinatario/i e possono contenere informazioni di carattere riservato. Qualora non fosse il destinatario del presente messaggio la preghiamo di avvertirci immediatamente tramite posta elettronica o telefonicamente e di cancellare il presente messaggio e i suoi allegati dalla sua casella di posta elettronica e dai suoi sistemi. E’vietato copiare, utilizzare, comunicare e divulgare il presente messaggio senza autorizzazione. Questo messaggio non costituisce una sollecitazione all'investimento o un'offerta di acquisto o di vendita di strumenti finanziari o una conferma formale di un’operazione. Gruppo Banca Leonardo è impegnata solo dalle dichiarazioni dei propri legali rappresentanti. Poiché le trasmissioni elettroniche non garantiscono la sicurezza e la correttezza dei dati, non assumiamo alcuna responsabilità in merito alla completezza e accuratezza delle informazioni contenute nel presente messaggio. L'indirizzo di posta elettronica dal quale viene inviato il presente messaggio non é un indirizzo privato del mittente. Si avverte che le risposte a questo messaggio potrebbero essere conosciute nell'organizzazione del mittente, nei limiti e con le procedure di legge. This e-mail and its attachment(s) are intended solely for the personal and confidential use of the addressee(s). If you are not the intended recipient of this message please notify us immediately by reply e-mail or by telephone and then delete this message and any file attached from your inbox and systems. Any unauthorized copy, use, disclosure, dissemination of this message is strictly prohibited. This communication should not be regarded as a solicitation or as an offer to sell or to buy any financial product, an official confirmation of any transaction, or as an official statement of Gruppo Banca Leonardo. E-mail transmissions cannot be guaranteed to be secure or error-free. Therefore, no representation is made that this information is complete or accurate and it should not be relied upon as such. The e-mail address from which this message is being sent is not private to the sender. Please note that responses to this message could be known in the sender's organization, in compliance with the mandatory limits and procedures.------------------------------------------------------------------------- This SF.net email is sponsored by: Splunk Inc. Still grepping through log files to find problems? Stop. Now Search log events and configuration files using AJAX and a browser. Download your FREE copy of Splunk now >> http://get.splunk.com/_______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users Il presente messaggio di posta elettronica e i suoi allegati sono destinati esclusivamente e personalmente al/ai destinatario/i e possono contenere informazioni di carattere riservato. Qualora non fosse il destinatario del presente messaggio la preghiamo di avvertirci immediatamente tramite posta elettronica o telefonicamente e di cancellare il presente messaggio e i suoi allegati dalla sua casella di posta elettronica e dai suoi sistemi. E’vietato copiare, utilizzare, comunicare e divulgare il presente messaggio senza autorizzazione. Questo messaggio non costituisce una sollecitazione all'investimento o un'offerta di acquisto o di vendita di strumenti finanziari o una conferma formale di un’operazione. Gruppo Banca Leonardo è impegnata solo dalle dichiarazioni dei propri legali rappresentanti. Poiché le trasmissioni elettroniche non garantiscono la sicurezza e la correttezza dei dati, non assumiamo alcuna responsabilità in merito alla completezza e accuratezza delle informazioni contenute nel presente messaggio. L'indirizzo di posta elettronica dal quale viene inviato il presente messaggio non é un indirizzo privato del mittente. Si avverte che le risposte a questo messaggio potrebbero essere conosciute nell'organizzazione del mittente, nei limiti e con le procedure di legge. This e-mail and its attachment(s) are intended solely for the personal and confidential use of the addressee(s). If you are not the intended recipient of this message please notify us immediately by reply e-mail or by telephone and then delete this message and any file attached from your inbox and systems. Any unauthorized copy, use, disclosure, dissemination of this message is strictly prohibited. This communication should not be regarded as a solicitation or as an offer to sell or to buy any financial product, an official confirmation of any transaction, or as an official statement of Gruppo Banca Leonardo. E-mail transmissions cannot be guaranteed to be secure or error-free. Therefore, no representation is made that this information is complete or accurate and it should not be relied upon as such. The e-mail address from which this message is being sent is not private to the sender. Please note that responses to this message could be known in the sender's organization, in compliance with the mandatory limits and procedures. ------------------------------------------------------------------------- This SF.net email is sponsored by: Splunk Inc. Still grepping through log files to find problems? Stop. Now Search log events and configuration files using AJAX and a browser. Download your FREE copy of Splunk now >> http://get.splunk.com/ _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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In reply to this post by marco.tarenghi
Marco You’re right. This isn’t handled in QL yet, and represents a problem for coupon that have already been fixed, not for forward fixings.
Bye Chiara
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Re: Long/Short coupon
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In reply to this post by marco.tarenghi
Hi Marco
> Still I think this is not Handled in QuantLib, > I'm trying to write some specific code about it. feel free to share some idea. I wanted to tackle this issue in the past, but it turned out to be not that easy. It's easy to create a class derived from InterestRateIndex which would interpolate its fixings using a family of InterestRateIndexes, but the problem is with the method signature: Real Index::fixing(const Date& fixingDate, bool forecastTodaysFixing = false) which doesn't take into account the information about how long the accrual period is. So this information should be already available at construction time, or obtained through some interaction with a Coupon object... but I didn't come up with any decent solution. Any suggestion? ciao -- Nando ------------------------------------------------------------------------- This SF.net email is sponsored by: Splunk Inc. Still grepping through log files to find problems? Stop. Now Search log events and configuration files using AJAX and a browser. Download your FREE copy of Splunk now >> http://get.splunk.com/ _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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I was thinking to tackle this issue directly in the Coupon class and not in the Index class: when you build the cashflows leg you can detect if the coupon is short or long, and then you could instantiate the correct LongCoupon or ShortCoupon class: inside these classes you take the reference index and build the two indexes necessary for interpolation and the indexFixingMethod returns the weighted sum of the two single fixings. I remember that LongIndexedCoupon and ShortIndexedCoupon were defined (but not implemented) in previous releases. But going back to Chiara's reply: why do you say that it is not important for future fixings? What if the short coupon is at the end of the schedule? Unless it is specified directly by the contract I think it should pay the period-adapted Euribor. Am I wrong? Thanks to both of you. Marco
Hi Marco > Still I think this is not Handled in QuantLib, > I'm trying to write some specific code about it. feel free to share some idea. I wanted to tackle this issue in the past, but it turned out to be not that easy. It's easy to create a class derived from InterestRateIndex which would interpolate its fixings using a family of InterestRateIndexes, but the problem is with the method signature: Real Index::fixing(const Date& fixingDate, bool forecastTodaysFixing = false) which doesn't take into account the information about how long the accrual period is. So this information should be already available at construction time, or obtained through some interaction with a Coupon object... but I didn't come up with any decent solution. Any suggestion? ciao -- Nando Il presente messaggio di posta elettronica e i suoi allegati sono destinati esclusivamente e personalmente al/ai destinatario/i e possono contenere informazioni di carattere riservato. Qualora non fosse il destinatario del presente messaggio la preghiamo di avvertirci immediatamente tramite posta elettronica o telefonicamente e di cancellare il presente messaggio e i suoi allegati dalla sua casella di posta elettronica e dai suoi sistemi. E’vietato copiare, utilizzare, comunicare e divulgare il presente messaggio senza autorizzazione. Questo messaggio non costituisce una sollecitazione all'investimento o un'offerta di acquisto o di vendita di strumenti finanziari o una conferma formale di un’operazione. Gruppo Banca Leonardo è impegnata solo dalle dichiarazioni dei propri legali rappresentanti. Poiché le trasmissioni elettroniche non garantiscono la sicurezza e la correttezza dei dati, non assumiamo alcuna responsabilità in merito alla completezza e accuratezza delle informazioni contenute nel presente messaggio. L'indirizzo di posta elettronica dal quale viene inviato il presente messaggio non é un indirizzo privato del mittente. Si avverte che le risposte a questo messaggio potrebbero essere conosciute nell'organizzazione del mittente, nei limiti e con le procedure di legge. This e-mail and its attachment(s) are intended solely for the personal and confidential use of the addressee(s). If you are not the intended recipient of this message please notify us immediately by reply e-mail or by telephone and then delete this message and any file attached from your inbox and systems. Any unauthorized copy, use, disclosure, dissemination of this message is strictly prohibited. This communication should not be regarded as a solicitation or as an offer to sell or to buy any financial product, an official confirmation of any transaction, or as an official statement of Gruppo Banca Leonardo. E-mail transmissions cannot be guaranteed to be secure or error-free. Therefore, no representation is made that this information is complete or accurate and it should not be relied upon as such. The e-mail address from which this message is being sent is not private to the sender. Please note that responses to this message could be known in the sender's organization, in compliance with the mandatory limits and procedures. ------------------------------------------------------------------------- This SF.net email is sponsored by: Splunk Inc. Still grepping through log files to find problems? Stop. Now Search log events and configuration files using AJAX and a browser. Download your FREE copy of Splunk now >> http://get.splunk.com/ _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
Re: Long/Short coupon
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On 8/30/07, [hidden email] <[hidden email]>
> why do you say that it is not important for future fixings? > What if the short coupon is at the end of the schedule? > Unless it is specified directly by the contract I think it should pay > the period-adapted Euribor. when it comes to future fixings, using the ParCoupon will always return the period-adapted ibor fixing. The problem arise only for already fixed (i.e.) current coupon. btw with a manual patch you can always fix the current coupon to the level you want... ciao -- Nando ------------------------------------------------------------------------- This SF.net email is sponsored by: Splunk Inc. Still grepping through log files to find problems? Stop. Now Search log events and configuration files using AJAX and a browser. Download your FREE copy of Splunk now >> http://get.splunk.com/ _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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