Valuating a swap with a manually set first fixing on the floating leg
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Valuating a swap with a manually set first fixing on the floating leg
 
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Hello all, i have been successfully using QuantLib 1.0.1 with the SWIG-interface out of Java to implement the valuation of a Vanilla-Swap. It is naturally quite similar to the swapvaluation example delivered with QuantLib. Another swap i want to valuate now is slightly different to the vanilla swap. The first period of the floating leg is a short stub whose fixing is not derived from the forecasting term structure but is set manually to e.g. 0.5%. I tried to do this with "addFixing" to the floating leg, which seems to work well, if my valuation date "today" is later than the first fixing date for the floating leg. If "today" is equal to that date, the first cashflow looks as expected (it fits the 0.5%), but some of the later cashflows also have different amounts, which should not happen. If "today" is before the first fixing date, the manual fixing seems to have no effect. Am i taking the wrong approach? If so, what would be the right one? Best regards, Henner Heck ------------------------------------------------------------------------------ The Next 800 Companies to Lead America's Growth: New Video Whitepaper David G. Thomson, author of the best-selling book "Blueprint to a Billion" shares his insights and actions to help propel your business during the next growth cycle. Listen Now! http://p.sf.net/sfu/SAP-dev2dev _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
Re: Valuating a swap with a manually set first fixing on the floating leg
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Hi Henner,
On Mon, 2010-11-08 at 18:47 +0100, Henner Heck wrote: > Another swap i want to valuate now is slightly different to the > vanilla swap. The first period of the floating leg is a short stub > whose fixing is not derived from the forecasting term structure but is > set manually to e.g. 0.5%. So it's a fixed short coupon, not a floating one, right? > I tried to do this with "addFixing" to the floating leg, which seems > to work well, if my valuation date "today" is later than the first > fixing date for the floating leg. > If "today" is equal to that date, the first cashflow looks as expected > (it fits the 0.5%), but some of the later cashflows also have > different amounts, which should not happen. Hmm. By using addFixing, you're telling the library that the Libor fixing at that date was 0.5%. That doesn't only affect your floating leg, but any other swap fixing on that date (which probably explains the different amounts; the fixing affects the swaps used for bootstrapping the risk-free curve.) I think the correct way would be to use the Swap class instead of the VanillaSwap class and build the cashflows explicitly, that is, - use FixedRateLeg and IborLeg to build the two legs; - replace the first coupon in the floating leg with a FixedRateCoupon with the correct dates and rate; - pass the fixed leg and the modified floating leg to a Swap instance. Luigi -- Newton's Law of Gravitation: What goes up must come down. But don't expect it to come down where you can find it. Murphy's Law applies to Newton's. ------------------------------------------------------------------------------ Centralized Desktop Delivery: Dell and VMware Reference Architecture Simplifying enterprise desktop deployment and management using Dell EqualLogic storage and VMware View: A highly scalable, end-to-end client virtualization framework. Read more! http://p.sf.net/sfu/dell-eql-dev2dev _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
Re: Valuating a swap with a manually set first fixing on the floating leg
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Hello Luigi, thank you for the advice. Yes, the first coupon of the floating leg is fixed. I will try what you suggested, though i do not find FixedRateLeg or IborLeg in the Java classes built from the SWIG files. I hope i will find a way to make them usable. Best regards, Henner Heck Am 15.11.2010, 11:47 Uhr, schrieb Luigi Ballabio <[hidden email]>: > Hi Henner, > > On Mon, 2010-11-08 at 18:47 +0100, Henner Heck wrote: >> Another swap i want to valuate now is slightly different to the >> vanilla swap. The first period of the floating leg is a short stub >> whose fixing is not derived from the forecasting term structure but is >> set manually to e.g. 0.5%. > > So it's a fixed short coupon, not a floating one, right? > >> I tried to do this with "addFixing" to the floating leg, which seems >> to work well, if my valuation date "today" is later than the first >> fixing date for the floating leg. >> If "today" is equal to that date, the first cashflow looks as expected >> (it fits the 0.5%), but some of the later cashflows also have >> different amounts, which should not happen. > > Hmm. By using addFixing, you're telling the library that the Libor > fixing at that date was 0.5%. That doesn't only affect your floating > leg, but any other swap fixing on that date (which probably explains the > different amounts; the fixing affects the swaps used for bootstrapping > the risk-free curve.) > > I think the correct way would be to use the Swap class instead of the > VanillaSwap class and build the cashflows explicitly, that is, > - use FixedRateLeg and IborLeg to build the two legs; > - replace the first coupon in the floating leg with a FixedRateCoupon > with the correct dates and rate; > - pass the fixed leg and the modified floating leg to a Swap instance. > > Luigi > > ------------------------------------------------------------------------------ Increase Visibility of Your 3D Game App & Earn a Chance To Win $500! Tap into the largest installed PC base & get more eyes on your game by optimizing for Intel(R) Graphics Technology. Get started today with the Intel(R) Software Partner Program. Five $500 cash prizes are up for grabs. http://p.sf.net/sfu/intelisp-dev2dev _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
Re: Valuating a swap with a manually set first fixing on the floating leg
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On Tue, 2010-11-23 at 15:58 +0100, Henner Heck wrote:
> Yes, the first coupon of the floating leg is fixed. > I will try what you suggested, though i do not find > FixedRateLeg or IborLeg in the Java classes built > from the SWIG files. They're functions on the C++ side, which means they're wrapped as methods of the QuantLib class in Java. Luigi -- standards, n.: The principles we use to reject other people's code. ------------------------------------------------------------------------------ Increase Visibility of Your 3D Game App & Earn a Chance To Win $500! Tap into the largest installed PC base & get more eyes on your game by optimizing for Intel(R) Graphics Technology. Get started today with the Intel(R) Software Partner Program. Five $500 cash prizes are up for grabs. http://p.sf.net/sfu/intelisp-dev2dev _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
Re: Valuating a swap with a manually set first fixing on the floating leg
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Found them! :) Thanks, Henner Am 23.11.2010, 16:19 Uhr, schrieb Luigi Ballabio <[hidden email]>: > On Tue, 2010-11-23 at 15:58 +0100, Henner Heck wrote: >> Yes, the first coupon of the floating leg is fixed. >> I will try what you suggested, though i do not find >> FixedRateLeg or IborLeg in the Java classes built >> from the SWIG files. > > They're functions on the C++ side, which means they're wrapped as > methods of the QuantLib class in Java. > > Luigi > > -- Erstellt mit Operas revolutionärem E-Mail-Modul: http://www.opera.com/mail/ ------------------------------------------------------------------------------ Increase Visibility of Your 3D Game App & Earn a Chance To Win $500! Tap into the largest installed PC base & get more eyes on your game by optimizing for Intel(R) Graphics Technology. Get started today with the Intel(R) Software Partner Program. Five $500 cash prizes are up for grabs. http://p.sf.net/sfu/intelisp-dev2dev _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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In reply to this post by Henner Heck
I am dealing with similar issue and have tried to implement the below solution. However, the floating leg payment dates do not appear to be aligned with the first fixed rate payment. Based on the code given below, I was expecting the floating periods to be 5-july-2011 to 30-sep-2011 , 30-sep-2011 to 30-dec-2011, 30-dec-2011 to 30-mar-2012...30-sep-2020 to 31-dec-2020. if you execute the below code listing, it will appear as if QL is not taking the forced first fixed rate into consideration at all. I have probably missed something. Thanks.
============================================== // the only header you need to use QuantLib #include <ql/quantlib.hpp> #ifdef BOOST_MSVC /* Uncomment the following lines to unmask floating-point exceptions. Warning: unpredictable results can arise... See http://www.wilmott.com/messageview.cfm?catid=10&threadid=9481 Is there anyone with a definitive word about this? */ // #include <float.h> // namespace { unsigned int u = _controlfp(_EM_INEXACT, _MCW_EM); } #endif #include <boost/timer.hpp> #include <boost/shared_ptr.hpp> #include <iostream> #include <iomanip> using namespace QuantLib; #if defined(QL_ENABLE_SESSIONS) namespace QuantLib { Integer sessionId() { return 0; } } #endif int main(int, char* []) { try { boost::timer timer; std::cout << std::endl; /********************* *** MARKET DATA *** *********************/ Calendar calendar = UnitedStates(); Date settlementDate(5, July, 2011); JointCalendar usdgbpCalendar = JointCalendar(UnitedStates(), UnitedKingdom()); settlementDate = usdgbpCalendar.adjust(settlementDate); usdgbpCalendar.addHoliday(Date(5,June,2012)); //Queens jubilee Integer fixingDays = 2; Date todaysDate(3, May,2013); Settings::instance().evaluationDate() = todaysDate; todaysDate = Settings::instance().evaluationDate(); std::cout << "Today: " << todaysDate.weekday() << ", " << todaysDate << std::endl; std::cout << "Settlement date: " << settlementDate.weekday() << ", " << settlementDate << std::endl; //OISCurveData cd; //OISMktData(cd); //boost::shared_ptr<YieldTermStructure> oiscurve=buildOISCurve(cd); std::vector<QuantLib::Date> yieldMaturities; std::vector<QuantLib::Rate> yields ; yieldMaturities.push_back(calendar.advance(todaysDate, 1, Days)); yieldMaturities.push_back(calendar.advance(todaysDate, 4, Days)); yieldMaturities.push_back(calendar.advance(todaysDate, 5, Days)); yieldMaturities.push_back(calendar.advance(todaysDate, 12, Days)); yieldMaturities.push_back(calendar.advance(todaysDate, 97, Days)); yieldMaturities.push_back(calendar.advance(todaysDate, 139, Days)); yieldMaturities.push_back(calendar.advance(todaysDate, 229, Days)); yieldMaturities.push_back(calendar.advance(todaysDate, 319, Days)); yieldMaturities.push_back(calendar.advance(todaysDate, 412, Days)); yieldMaturities.push_back(calendar.advance(todaysDate, 503, Days)); yieldMaturities.push_back(calendar.advance(todaysDate, 593, Days)); yieldMaturities.push_back(calendar.advance(todaysDate, 683, Days)); yieldMaturities.push_back(calendar.advance(todaysDate, 776, Days)); yieldMaturities.push_back(calendar.advance(todaysDate, 1102, Days)); yieldMaturities.push_back(calendar.advance(todaysDate, 1466, Days)); yieldMaturities.push_back(calendar.advance(todaysDate, 1831, Days)); yieldMaturities.push_back(calendar.advance(todaysDate, 2196, Days)); yieldMaturities.push_back(calendar.advance(todaysDate, 2565, Days)); yieldMaturities.push_back(calendar.advance(todaysDate, 2929, Days)); yieldMaturities.push_back(calendar.advance(todaysDate, 3293, Days)); yieldMaturities.push_back(calendar.advance(todaysDate, 3657, Days)); yieldMaturities.push_back(calendar.advance(todaysDate, 4392, Days)); yieldMaturities.push_back(calendar.advance(todaysDate, 5484, Days)); yieldMaturities.push_back(calendar.advance(todaysDate, 7311, Days)); yieldMaturities.push_back(calendar.advance(todaysDate, 9138, Days)); yieldMaturities.push_back(calendar.advance(todaysDate, 10965, Days)); yieldMaturities.push_back(calendar.advance(todaysDate, 14619, Days)); yieldMaturities.push_back(calendar.advance(todaysDate, 18267, Days)); yieldMaturities.push_back(calendar.advance(todaysDate, 21920, Days)); yields.push_back(0.0015009); yields.push_back(0.0017504); yields.push_back(0.0019505); yields.push_back(0.0017882); yields.push_back(0.0027097); yields.push_back(0.002564); yields.push_back(0.0026989); yields.push_back(0.0028121); yields.push_back(0.0029331); yields.push_back(0.003054); yields.push_back(0.0031979); yields.push_back(0.0033695); yields.push_back(0.0035764); yields.push_back(0.0046287); yields.push_back(0.006471); yields.push_back(0.0087972); yields.push_back(0.0112492); yields.push_back(0.0136219); yields.push_back(0.0157672); yields.push_back(0.0177099); yields.push_back(0.0194467); yields.push_back(0.0224504); yields.push_back(0.025489); yields.push_back(0.028155); yields.push_back(0.0294443); yields.push_back(0.0302328); yields.push_back(0.0301941); yields.push_back(0.0294384); yields.push_back(0.028945); LogCubic mlcns = LogCubic( CubicInterpolation::Spline, true, CubicInterpolation::SecondDerivative, 0, CubicInterpolation::SecondDerivative, 0) ; boost::shared_ptr<YieldTermStructure> depoSwapTermStructure( boost::shared_ptr<InterpolatedZeroCurve<LogCubic>>( new InterpolatedZeroCurve<LogCubic>(yieldMaturities,yields, Actual360(),usdgbpCalendar, mlcns))); depoSwapTermStructure->enableExtrapolation(); RelinkableHandle<YieldTermStructure> discountingTermStructure; RelinkableHandle<YieldTermStructure> forecastingTermStructure; /********************* * SWAPS TO BE PRICED * **********************/ Real nominal = 20000000.0; // fixed leg Frequency fixedLegFrequency = Quarterly; BusinessDayConvention fixedLegConvention = ModifiedFollowing; DayCounter fixedLegDayCounter = Actual360(); Rate fixedRate = 0.0313750; // floating leg BusinessDayConvention floatingLegConvention = ModifiedFollowing; DayCounter floatingLegDayCounter = Actual360(); Frequency floatingLegFrequency = Quarterly; Handle < YieldTermStructure > ycHandle ( forecastingTermStructure ); boost::shared_ptr<IborIndex> libor3m ( new USDLibor ( Period (3, Months ), ycHandle )); //the first fixed rate on floating leg is 0.024075 for period 5-jul-2011 to 30-sep-2011 //and after that usual floating periods should begin libor3m -> addFixing(Date(1, July,2011),0.0024075); libor3m -> addFixing(Date(28, September,2011),0.0036856); libor3m -> addFixing(Date(28, December,2011),0.0057925); libor3m -> addFixing(Date(28,March,2012),0.0046965); libor3m -> addFixing(Date(27,June,2012),0.004606); libor3m -> addFixing(Date(26,September,2012),0.0036225); libor3m -> addFixing(Date(27,December,2012),0.00311); libor3m -> addFixing(Date(26,March,2013),0.002836); libor3m -> addFixing(Date(3, April,2013), 0.0028110); Spread spread = 0.0; Date maturity(31,December,2020); Schedule fixedSchedule(settlementDate, maturity, Period(fixedLegFrequency), usdgbpCalendar, fixedLegConvention, fixedLegConvention, DateGeneration::Forward, false); FixedRateLeg fixedLeg = FixedRateLeg(fixedSchedule) .withNotionals(nominal) .withCouponRates(fixedRate, fixedLegDayCounter) .withPaymentAdjustment(fixedLegConvention); Schedule floatSchedule(settlementDate, maturity, Period(floatingLegFrequency), usdgbpCalendar, floatingLegConvention, floatingLegConvention, DateGeneration::Forward, false); IborLeg floatLeg = IborLeg(floatSchedule,libor3m) .withNotionals(nominal) .withPaymentDayCounter(floatingLegDayCounter) .withPaymentAdjustment(floatingLegConvention) .withSpreads(spread); //how do I replace the first floating coupon? Is the below correct way ?? boost::shared_ptr<QuantLib::CashFlow> fixed1stPmt (new FixedRateCoupon(Date(30,September,2011),20000000,0.0024075,Actual360(), Date(5,July,2011), Date(30,September,2011),Date(5,July,2011), Date(30,September,2011))); Leg fl = floatLeg; fl[0] = (fixed1stPmt); Swap myswap(fixedLeg, floatLeg); /*************** * SWAP PRICING * ****************/ // utilities for reporting std::vector<std::string> headers(4); headers[0] = "term structure"; headers[1] = "net present value"; headers[2] = "fair spread"; headers[3] = "fair fixed rate"; std::string separator = " | "; Size width = headers[0].size() + separator.size() + headers[1].size() + separator.size() + headers[2].size() + separator.size() + headers[3].size() + separator.size() - 1; std::string rule(width, '-'), dblrule(width, '='); std::string tab(8, ' '); std::cout << rule << std::endl; Real NPV; Rate fairRate; Spread fairSpread; boost::shared_ptr<PricingEngine> swapEngine( new DiscountingSwapEngine(discountingTermStructure)); myswap.setPricingEngine(swapEngine); // Of course, you're not forced to really use different curves forecastingTermStructure.linkTo(depoSwapTermStructure); discountingTermStructure.linkTo(depoSwapTermStructure); //oiscurve); Real fixedLegNPV = myswap.legNPV(0); Real floatLegNPV = myswap.legNPV(1); NPV = fixedLegNPV + floatLegNPV; Real DV01 = myswap.legBPS(0); for(Size i=0;i<myswap.leg(1).size(); i++){ std :: cout << "Date :" << (myswap.leg(1))[i]->date() << " FloatingLeg CashFlow :" << std::fixed << std::setprecision(2) << (myswap.leg(1))[i]->amount() << std :: endl ; } return 0; } catch (std::exception& e) { std::cerr << e.what() << std::endl; return 1; } catch (...) { std::cerr << "unknown error" << std::endl; return 1; } } |
Re: Valuating a swap with a manually set first fixing on the floating leg
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Hello,
you're creating the floating schedule with a quarterly frequency starting on July 5th, so the coupon dates will be on July 5th, October 5th and so on. You're replacing the first coupon, but the second still goes from October 5th to January 5th and thus looks for the October 3rd fixing. The correct way to build the leg is to pass the stub date to the schedule, as in: Schedule floatSchedule(settlementDate, maturity, Period(floatingLegFrequency), usdgbpCalendar, floatingLegConvention, floatingLegConvention, DateGeneration::Forward, false, Date(30,September,2011)); which will create coupons with the correct dates. At that point, the fixing from September 28th should be picked up. Luigi On Mon, May 6, 2013 at 10:43 PM, suhasg <[hidden email]> wrote: > I am dealing with similar issue and have tried to implement the below > solution. However, the floating leg payment dates do not appear to be > aligned with the first fixed rate payment. Based on the code given below, I > was expecting the floating periods to be 5-july-2011 to 30-sep-2011 , > 30-sep-2011 to 30-dec-2011, 30-dec-2011 to 30-mar-2012...30-sep-2020 to > 31-dec-2020. if you execute the below code listing, it will appear as if QL > is not taking the forced first fixed rate into consideration at all. I have > probably missed something. Thanks. > > ============================================== > // the only header you need to use QuantLib > #include <ql/quantlib.hpp> > > #ifdef BOOST_MSVC > /* Uncomment the following lines to unmask floating-point > exceptions. Warning: unpredictable results can arise... > > See http://www.wilmott.com/messageview.cfm?catid=10&threadid=9481 > Is there anyone with a definitive word about this? > */ > // #include <float.h> > // namespace { unsigned int u = _controlfp(_EM_INEXACT, _MCW_EM); } > #endif > > #include <boost/timer.hpp> > #include <boost/shared_ptr.hpp> > #include <iostream> > #include <iomanip> > > using namespace QuantLib; > > #if defined(QL_ENABLE_SESSIONS) > namespace QuantLib { > > Integer sessionId() { return 0; } > > } > #endif > > > int main(int, char* []) { > > try { > > boost::timer timer; > std::cout << std::endl; > > /********************* > *** MARKET DATA *** > *********************/ > > Calendar calendar = UnitedStates(); > Date settlementDate(5, July, 2011); > JointCalendar usdgbpCalendar = JointCalendar(UnitedStates(), > UnitedKingdom()); > settlementDate = usdgbpCalendar.adjust(settlementDate); > usdgbpCalendar.addHoliday(Date(5,June,2012)); //Queens jubilee > > Integer fixingDays = 2; > Date todaysDate(3, May,2013); > Settings::instance().evaluationDate() = todaysDate; > > > todaysDate = Settings::instance().evaluationDate(); > > std::cout << "Today: " << todaysDate.weekday() > << ", " << todaysDate << std::endl; > > std::cout << "Settlement date: " << settlementDate.weekday() > << ", " << settlementDate << std::endl; > > //OISCurveData cd; > > //OISMktData(cd); > > //boost::shared_ptr<YieldTermStructure> oiscurve=buildOISCurve(cd); > > > std::vector<QuantLib::Date> yieldMaturities; > std::vector<QuantLib::Rate> yields ; > > yieldMaturities.push_back(calendar.advance(todaysDate, 1, Days)); > yieldMaturities.push_back(calendar.advance(todaysDate, 4, Days)); > yieldMaturities.push_back(calendar.advance(todaysDate, 5, Days)); > yieldMaturities.push_back(calendar.advance(todaysDate, 12, Days)); > yieldMaturities.push_back(calendar.advance(todaysDate, 97, Days)); > yieldMaturities.push_back(calendar.advance(todaysDate, 139, Days)); > yieldMaturities.push_back(calendar.advance(todaysDate, 229, Days)); > yieldMaturities.push_back(calendar.advance(todaysDate, 319, Days)); > yieldMaturities.push_back(calendar.advance(todaysDate, 412, Days)); > yieldMaturities.push_back(calendar.advance(todaysDate, 503, Days)); > yieldMaturities.push_back(calendar.advance(todaysDate, 593, Days)); > yieldMaturities.push_back(calendar.advance(todaysDate, 683, Days)); > yieldMaturities.push_back(calendar.advance(todaysDate, 776, Days)); > yieldMaturities.push_back(calendar.advance(todaysDate, 1102, Days)); > yieldMaturities.push_back(calendar.advance(todaysDate, 1466, Days)); > yieldMaturities.push_back(calendar.advance(todaysDate, 1831, Days)); > yieldMaturities.push_back(calendar.advance(todaysDate, 2196, Days)); > yieldMaturities.push_back(calendar.advance(todaysDate, 2565, Days)); > yieldMaturities.push_back(calendar.advance(todaysDate, 2929, Days)); > yieldMaturities.push_back(calendar.advance(todaysDate, 3293, Days)); > yieldMaturities.push_back(calendar.advance(todaysDate, 3657, Days)); > yieldMaturities.push_back(calendar.advance(todaysDate, 4392, Days)); > yieldMaturities.push_back(calendar.advance(todaysDate, 5484, Days)); > yieldMaturities.push_back(calendar.advance(todaysDate, 7311, Days)); > yieldMaturities.push_back(calendar.advance(todaysDate, 9138, Days)); > yieldMaturities.push_back(calendar.advance(todaysDate, 10965, Days)); > yieldMaturities.push_back(calendar.advance(todaysDate, 14619, Days)); > yieldMaturities.push_back(calendar.advance(todaysDate, 18267, Days)); > yieldMaturities.push_back(calendar.advance(todaysDate, 21920, Days)); > > > yields.push_back(0.0015009); > yields.push_back(0.0017504); > yields.push_back(0.0019505); > yields.push_back(0.0017882); > yields.push_back(0.0027097); > yields.push_back(0.002564); > yields.push_back(0.0026989); > yields.push_back(0.0028121); > yields.push_back(0.0029331); > yields.push_back(0.003054); > yields.push_back(0.0031979); > yields.push_back(0.0033695); > yields.push_back(0.0035764); > yields.push_back(0.0046287); > yields.push_back(0.006471); > yields.push_back(0.0087972); > yields.push_back(0.0112492); > yields.push_back(0.0136219); > yields.push_back(0.0157672); > yields.push_back(0.0177099); > yields.push_back(0.0194467); > yields.push_back(0.0224504); > yields.push_back(0.025489); > yields.push_back(0.028155); > yields.push_back(0.0294443); > yields.push_back(0.0302328); > yields.push_back(0.0301941); > yields.push_back(0.0294384); > yields.push_back(0.028945); > > > > LogCubic mlcns = LogCubic( > CubicInterpolation::Spline, > true, > CubicInterpolation::SecondDerivative, > 0, > CubicInterpolation::SecondDerivative, > 0) ; > > boost::shared_ptr<YieldTermStructure> depoSwapTermStructure( > boost::shared_ptr<InterpolatedZeroCurve<LogCubic>>( > new InterpolatedZeroCurve<LogCubic>(yieldMaturities,yields, > Actual360(),usdgbpCalendar, mlcns))); > > > depoSwapTermStructure->enableExtrapolation(); > > > RelinkableHandle<YieldTermStructure> discountingTermStructure; > > RelinkableHandle<YieldTermStructure> forecastingTermStructure; > > > /********************* > * SWAPS TO BE PRICED * > **********************/ > > > Real nominal = 20000000.0; > // fixed leg > Frequency fixedLegFrequency = Quarterly; > BusinessDayConvention fixedLegConvention = ModifiedFollowing; > DayCounter fixedLegDayCounter = Actual360(); > > Rate fixedRate = 0.0313750; > > > // floating leg > BusinessDayConvention floatingLegConvention = ModifiedFollowing; > DayCounter floatingLegDayCounter = Actual360(); > Frequency floatingLegFrequency = Quarterly; > Handle < YieldTermStructure > ycHandle ( forecastingTermStructure ); > boost::shared_ptr<IborIndex> libor3m ( new USDLibor ( Period (3, > Months ), ycHandle )); > //the first fixed rate on floating leg is 0.024075 for period 5-jul-2011 to > 30-sep-2011 > //and after that usual floating periods should begin > libor3m -> addFixing(Date(1, July,2011),0.0024075); > libor3m -> addFixing(Date(28, September,2011),0.0036856); > libor3m -> addFixing(Date(28, December,2011),0.0057925); > libor3m -> addFixing(Date(28,March,2012),0.0046965); > libor3m -> addFixing(Date(27,June,2012),0.004606); > libor3m -> addFixing(Date(26,September,2012),0.0036225); > libor3m -> addFixing(Date(27,December,2012),0.00311); > libor3m -> addFixing(Date(26,March,2013),0.002836); > libor3m -> addFixing(Date(3, April,2013), 0.0028110); > > Spread spread = 0.0; > > Date maturity(31,December,2020); > > Schedule fixedSchedule(settlementDate, maturity, > Period(fixedLegFrequency), > usdgbpCalendar, fixedLegConvention, > fixedLegConvention, > DateGeneration::Forward, false); > > FixedRateLeg fixedLeg = FixedRateLeg(fixedSchedule) > .withNotionals(nominal) > .withCouponRates(fixedRate, fixedLegDayCounter) > .withPaymentAdjustment(fixedLegConvention); > > Schedule floatSchedule(settlementDate, maturity, > Period(floatingLegFrequency), > usdgbpCalendar, floatingLegConvention, > floatingLegConvention, > DateGeneration::Forward, false); > > IborLeg floatLeg = IborLeg(floatSchedule,libor3m) > .withNotionals(nominal) > .withPaymentDayCounter(floatingLegDayCounter) > .withPaymentAdjustment(floatingLegConvention) > .withSpreads(spread); > > //how do I replace the first floating coupon? Is the below correct way ?? > > boost::shared_ptr<QuantLib::CashFlow> fixed1stPmt (new > FixedRateCoupon(Date(30,September,2011),20000000,0.0024075,Actual360(), > Date(5,July,2011), Date(30,September,2011),Date(5,July,2011), > Date(30,September,2011))); > > Leg fl = floatLeg; > fl[0] = (fixed1stPmt); > > > > Swap myswap(fixedLeg, floatLeg); > > > > /*************** > * SWAP PRICING * > ****************/ > > // utilities for reporting > std::vector<std::string> headers(4); > headers[0] = "term structure"; > headers[1] = "net present value"; > headers[2] = "fair spread"; > headers[3] = "fair fixed rate"; > std::string separator = " | "; > Size width = headers[0].size() + separator.size() > + headers[1].size() + separator.size() > + headers[2].size() + separator.size() > + headers[3].size() + separator.size() - 1; > std::string rule(width, '-'), dblrule(width, '='); > std::string tab(8, ' '); > > > std::cout << rule << std::endl; > > Real NPV; > Rate fairRate; > Spread fairSpread; > > boost::shared_ptr<PricingEngine> swapEngine( > new > DiscountingSwapEngine(discountingTermStructure)); > > myswap.setPricingEngine(swapEngine); > > > > // Of course, you're not forced to really use different curves > forecastingTermStructure.linkTo(depoSwapTermStructure); > discountingTermStructure.linkTo(depoSwapTermStructure); //oiscurve); > > Real fixedLegNPV = myswap.legNPV(0); > Real floatLegNPV = myswap.legNPV(1); > NPV = fixedLegNPV + floatLegNPV; > > Real DV01 = myswap.legBPS(0); > > for(Size i=0;i<myswap.leg(1).size(); i++){ > std :: cout << "Date :" << > (myswap.leg(1))[i]->date() << " FloatingLeg CashFlow :" << std::fixed << > std::setprecision(2) << (myswap.leg(1))[i]->amount() << std :: endl ; > } > > return 0; > > } catch (std::exception& e) { > std::cerr << e.what() << std::endl; > return 1; > } catch (...) { > std::cerr << "unknown error" << std::endl; > return 1; > } > } > > > > > > -- > View this message in context: http://quantlib.10058.n7.nabble.com/Valuating-a-swap-with-a-manually-set-first-fixing-on-the-floating-leg-tp5452p14247.html > Sent from the quantlib-users mailing list archive at Nabble.com. > > ------------------------------------------------------------------------------ > Learn Graph Databases - Download FREE O'Reilly Book > "Graph Databases" is the definitive new guide to graph databases and > their applications. 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