SwapIndex Calendar issue

[Luca Billi]

Hi all,

I just found that when building a term structure from a USD Libor Swap
Index and then re-evaluating the same Swap Index, the original quote
is not always recovered.

This happens only on particular evaluation dates and it seems to be
caused by a misalignment of the fixing calendars in the underlying
swaps generated by the classes "SwapIndex" and "SwapRateHelper".

More precisely, the underlying swap in "SwapRateHelper" inherits the
fixing calendar from the underlying "IborIndex" not from the
"SwapIndex". In the case of USD, "IborIndex" and "SwapIndex" calendars
are different.

Here's a code sample that illustrates the issue.
Changing eDate to a different value makes the issue disappear.


Date eDate(29, Dec, 2011);

Settings::instance().evaluationDate() = eDate;

double swaprate = 0.0500;
Period term = 2*Years;

boost::shared_ptr<RateHelper> s2y(new SwapRateHelper(swaprate,

boost::shared_ptr<SwapIndex>(
                                                           new
UsdLiborSwapIsdaFixAm(term))));

std::vector<boost::shared_ptr<RateHelper> > instruments;
instruments.push_back(s2y);

boost::shared_ptr<YieldTermStructure> curve(
            new PiecewiseYieldCurve<Discount,LogLinear>(
                                    0,
                                    NullCalendar(),
                                    instruments,
                                    ActualActual(ActualActual::ISDA)));

std::cout << UsdLiborSwapIsdaFixAm(term,
Handle<YieldTermStructure>(curve)).fixing(eDate) << std::endl;

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[Luigi Ballabio]

Hi Luca,
        thanks for the heads-up.  I don't have a fix yet, but I'll let you know
when it's done.

Luigi


On Sat, 2011-06-18 at 09:44 -0400, Luca Billi wrote:

> I just found that when building a term structure from a USD Libor Swap
> Index and then re-evaluating the same Swap Index, the original quote
> is not always recovered.
>
> This happens only on particular evaluation dates and it seems to be
> caused by a misalignment of the fixing calendars in the underlying
> swaps generated by the classes "SwapIndex" and "SwapRateHelper".
>
> More precisely, the underlying swap in "SwapRateHelper" inherits the
> fixing calendar from the underlying "IborIndex" not from the
> "SwapIndex". In the case of USD, "IborIndex" and "SwapIndex" calendars
> are different.
>
> Here's a code sample that illustrates the issue.
> Changing eDate to a different value makes the issue disappear.
>
>
> Date eDate(29, Dec, 2011);
>
> Settings::instance().evaluationDate() = eDate;
>
> double swaprate = 0.0500;
> Period term = 2*Years;
>
> boost::shared_ptr<RateHelper> s2y(new SwapRateHelper(swaprate,
>
> boost::shared_ptr<SwapIndex>(
>                                                            new
> UsdLiborSwapIsdaFixAm(term))));
>
> std::vector<boost::shared_ptr<RateHelper> > instruments;
> instruments.push_back(s2y);
>
> boost::shared_ptr<YieldTermStructure> curve(
>             new PiecewiseYieldCurve<Discount,LogLinear>(
>                                     0,
>                                     NullCalendar(),
>                                     instruments,
>                                     ActualActual(ActualActual::ISDA)));
>
> std::cout << UsdLiborSwapIsdaFixAm(term,
> Handle<YieldTermStructure>(curve)).fixing(eDate) << std::endl;
>
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> EditLive Enterprise is the world's most technically advanced content
> authoring tool. Experience the power of Track Changes, Inline Image
> Editing and ensure content is compliant with Accessibility Checking.
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> _______________________________________________
> QuantLib-dev mailing list
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