Swap evaluation problem
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I have have been using QuantLib 0.9.0 with Visual Studio 2005 and boost 1.34.1. When I compile and run the swap example, I get the following output.
Today: Monday, September 20th, 2004 Settlement date: Wednesday, September 22nd, 2004 ==================================================================== 5-year market swap-rate = 4.43 % ==================================================================== 5-years swap paying 4.00 % term structure | net present value | fair spread | fair fixed rate | -------------------------------------------------------------------- depo-swap | 19065.88 | -0.42 % | 4.43 % | depo-fut-swap | 19076.14 | -0.42 % | 4.43 % | depo-FRA-swap | 19056.02 | -0.42 % | 4.43 % | -------------------------------------------------------------------- 5-years, 1-year forward swap paying 4.00 % term structure | net present value | fair spread | fair fixed rate | -------------------------------------------------------------------- depo-swap | 40049.46 | -0.92 % | 4.95 % | depo-fut-swap | 40092.79 | -0.92 % | 4.95 % | depo-FRA-swap | 37238.92 | -0.86 % | 4.88 % | ==================================================================== 5-year market swap-rate = 4.60 % ==================================================================== 5-years swap paying 4.00 % term structure | net present value | fair spread | fair fixed rate | -------------------------------------------------------------------- depo-swap | 26539.06 | -0.58 % | 4.60 % | depo-fut-swap | 26553.34 | -0.58 % | 4.60 % | depo-FRA-swap | 26525.34 | -0.58 % | 4.60 % | -------------------------------------------------------------------- 5-years, 1-year forward swap paying 4.00 % term structure | net present value | fair spread | fair fixed rate | -------------------------------------------------------------------- depo-swap | 45736.04 | -1.06 % | 5.09 % | depo-fut-swap | 45782.40 | -1.06 % | 5.09 % | depo-FRA-swap | 42922.60 | -0.99 % | 5.02 % | Run completed in 0 s This is the same output since I have been using QuantLib when it was at version 0.2.14. When I compile and run the swap example from QuantLib 0.9.5 with boost 1.34.1 or boost 1.35.0 and with Visual Studio 2005 I get the following output. Today: Monday, September 20th, 2004 Settlement date: Wednesday, September 22nd, 2004 ==================================================================== 5-year market swap-rate = 4.43 % ==================================================================== 5-years swap paying 4.00 % term structure | net present value | fair spread | fair fixed rate | -------------------------------------------------------------------- depo-swap | 19070.25 | -0.42 % | 4.43 % | depo-fut-swap | 19080.84 | -0.42 % | 4.43 % | depo-FRA-swap | 19060.39 | -0.42 % | 4.43 % | -------------------------------------------------------------------- 5-years, 1-year forward swap paying 4.00 % term structure | net present value | fair spread | fair fixed rate | -------------------------------------------------------------------- depo-swap | 35018.92 | -0.81 % | 4.83 % | depo-fut-swap | 35106.66 | -0.81 % | 4.83 % | depo-FRA-swap | 32208.70 | -0.74 % | 4.76 % | ==================================================================== 5-year market swap-rate = 4.60 % ==================================================================== 5-years swap paying 4.00 % term structure | net present value | fair spread | fair fixed rate | -------------------------------------------------------------------- depo-swap | 26539.06 | -0.58 % | 4.60 % | depo-fut-swap | 26553.34 | -0.58 % | 4.60 % | depo-FRA-swap | 26525.34 | -0.58 % | 4.60 % | -------------------------------------------------------------------- 5-years, 1-year forward swap paying 4.00 % term structure | net present value | fair spread | fair fixed rate | -------------------------------------------------------------------- depo-swap | 45736.04 | -1.06 % | 5.09 % | depo-fut-swap | 45782.40 | -1.06 % | 5.09 % | depo-FRA-swap | 42922.60 | -0.99 % | 5.02 % | Run completed in 0 s The first six results are different. The 5-years, 1-year forward swap with the swap rate a 4.43% results are way off. Am I the only one getting this result? ------------------------------------------------------------------------- This SF.Net email is sponsored by the Moblin Your Move Developer's challenge Build the coolest Linux based applications with Moblin SDK & win great prizes Grand prize is a trip for two to an Open Source event anywhere in the world http://moblin-contest.org/redirect.php?banner_id=100&url=/ _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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On Mon, 2008-08-04 at 16:33 -0700, Nathan Abbott wrote:
> When I compile and run the swap example from QuantLib 0.9.5 with boost > 1.34.1 or boost 1.35.0 and with Visual Studio 2005 I get the following > output. > [...] > The first six results are different. The 5-years, 1-year forward swap > with the swap rate a 4.43% results are way off. You're right--thanks for the heads-up. I've pulled 0.9.5 from the download page until I figure out what's happening. Later, Luigi -- Never mistake motion for action. -- Ernest Hemingway ------------------------------------------------------------------------- This SF.Net email is sponsored by the Moblin Your Move Developer's challenge Build the coolest Linux based applications with Moblin SDK & win great prizes Grand prize is a trip for two to an Open Source event anywhere in the world http://moblin-contest.org/redirect.php?banner_id=100&url=/ _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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On Tue, 2008-08-05 at 15:56 +0200, Luigi Ballabio wrote:
> On Mon, 2008-08-04 at 16:33 -0700, Nathan Abbott wrote: > > When I compile and run the swap example from QuantLib 0.9.5 with boost > > 1.34.1 or boost 1.35.0 and with Visual Studio 2005 I get the following > > output. > > [...] > > The first six results are different. The 5-years, 1-year forward swap > > with the swap rate a 4.43% results are way off. > > You're right--thanks for the heads-up. I've pulled 0.9.5 from the > download page until I figure out what's happening. Ok, I've found the problem---the log-linear interpolation fails to setup, and the curve silently switches to linear interpolation. I'm currently implementing a patch. I'll try and get a 0.9.6 release out in a day or two. Nathan, thanks again for the report. Luigi -- It is always the best policy to tell the truth, unless, of course, you are an exceptionally good liar. -- Jerome K. Jerome ------------------------------------------------------------------------- This SF.Net email is sponsored by the Moblin Your Move Developer's challenge Build the coolest Linux based applications with Moblin SDK & win great prizes Grand prize is a trip for two to an Open Source event anywhere in the world http://moblin-contest.org/redirect.php?banner_id=100&url=/ _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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You are welcome. It is the least I could do.
On Tue, Aug 5, 2008 at 8:08 AM, Luigi Ballabio <[hidden email]> wrote:
------------------------------------------------------------------------- This SF.Net email is sponsored by the Moblin Your Move Developer's challenge Build the coolest Linux based applications with Moblin SDK & win great prizes Grand prize is a trip for two to an Open Source event anywhere in the world http://moblin-contest.org/redirect.php?banner_id=100&url=/ _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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