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答复: Tr : Source Code for "Bootstrapping The Illiquidity" Paper

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cheng li

答复: Tr : Source Code for "Bootstrapping The Illiquidity" Paper

Hi Jeff,

1. In first step you build a single EONIA curve using single curve approach. In you code it is the oisDiscountCurve.

2. In second step you use the already build EONIA curve as the discounting curve and then bootstrap the forward curve still in single curve approach, i.e. keep EONIA curve freeze and change the forward curve to match the market quote,:

e.g.

boost::shared_ptr<RateHelper> AB3E1Y(new SwapRateHelper(
            Handle<Quote>(AB3E1YRate), 1*Years,
            calendar, swFixedLegFrequency3,
            swFixedLegConvention3, swFixedLegDayCounter3,
            swFloatingLegIndex3,
        Handle< Quote >(),
        0 *Days,
        Handle<YieldTermStructure>(oisDiscountCurve)));

In the above codes, you set up one calibration instruments which is a one year swap. The last argument passed the EONIA curve in so that quantlib bootstrap engine will use it as exogenous discounting curve and bootstrap forward curve alone.

If you omit the last arguments, quantlib engine will treat discounting curve and forward curve as same.

Regards,

Cheng

发件人: Mbongo Nkounga Jeffrey Ted Johnattan [[hidden email]]
发送时间: 2014年8月27日 23:27
收件人: cheng.li; 'Haonan Zhou'
抄送: [hidden email]; [hidden email]
主题: Re: 答复: [Quantlib-users] Tr : Source Code for "Bootstrapping The Illiquidity" Paper

Dear all and Zhou in particular,

Here is what I was trying to do, but I got confused. Using the same paper

building the Euribor3M yield curve
1-Build the EONIA using the single curve approach
2-Build the euribor3M with step 1 as for discounting.

I've tried, but, I'm a bit confused about relating the two curves properly ( step 2).

Below is my code.

….

Le Mercredi 27 août 2014 16h55, cheng.li <[hidden email]> a écrit :

Currently, QuantLib can’t fit multi – curve simultaneously. It has to do it one by one.

If you need some clues on this topic you can consult to another open source project called Open Gamma and Marc Heared’s new book: Interest Rate Modelling in the Multi-Curve Framework.

Regards,

Cheng

发件人: Haonan Zhou [[hidden email]]
发送时间: 2014年8月27日 22:12
收件人: Mbongo Nkounga Jeffrey Ted Johnattan
抄送: [hidden email]; [hidden email]
主题: Re: [Quantlib-users] Tr : Source Code for "Bootstrapping The Illiquidity" Paper

Hi Jeffery,

The code that you included in your emails still seems to just fit a single EONIA curve to market data. I am interested in fitting multiple curves simultaneously as did the authors of the "Bootstrapping the Illiquidity" paper. Do you know where I can find the implementation of multi-curve fitting?

Thanks,
Haonan

On 08/27/2014 05:48 AM, Mbongo Nkounga Jeffrey Ted Johnattan wrote:

Hello Zhou,
Below is my Eonia yield curve code (using the same paper) . I was in your situation few months ago, I got help from quantlib especially from luigi. Also you can consider the book C# for Financial markets Daniel and andrea (very nice book in curve).

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