Yield Curve - Calendar Issue

[GL_QL]

Hey there,


I am trying to bootstrap a US yield curve in QuantlibXL, but I have issues with the dates that I am getting from the function qlPiecewiseYieldCurveDates.

Let's take for example the curve as of February 28th 2011. For the Deposits, I am using the UnitedKingdom::Exchange calendar, then TARGET for the Eurodollar futures, and UnitedStates::NYSE for the swaps.
When creating the Future Rate Helper, I am using either the IMM codes or the IMM dates produced by the function qlIMMNextCodes or qlIMMNextDates. I then bootstrap the yield curve.

When using the function qlPiecewiseYieldCurveDates to get the dates from the curve, the dates corresponding to the Eurodollar futures will be different from the maturity dates from qlIMMNextDates. For example, March 16th 2011 vs March 15th 2011, or September 15th 2011 vs September 21st 2011. What is the reason for that, and is there a way of forcing the dates ?

Thanks for your help.

[GL_QL]

Hey there,

to be more precise, when I use the FuturesRateHelper function to bootstrap my yieldcurve, instead of having the maturity of the future as a yield curve date (3rd wednesday of the month), I get the starting date of the future + 90 days. Is there a way of changing this convention to have the 3rd wednesday of the month as a yield curve date ?

Thanks in advance.

GL_QL wrote

Hey there,


I am trying to bootstrap a US yield curve in QuantlibXL, but I have issues with the dates that I am getting from the function qlPiecewiseYieldCurveDates.

Let's take for example the curve as of February 28th 2011. For the Deposits, I am using the UnitedKingdom::Exchange calendar, then TARGET for the Eurodollar futures, and UnitedStates::NYSE for the swaps.
When creating the Future Rate Helper, I am using either the IMM codes or the IMM dates produced by the function qlIMMNextCodes or qlIMMNextDates. I then bootstrap the yield curve.

When using the function qlPiecewiseYieldCurveDates to get the dates from the curve, the dates corresponding to the Eurodollar futures will be different from the maturity dates from qlIMMNextDates. For example, March 16th 2011 vs March 15th 2011, or September 15th 2011 vs September 21st 2011. What is the reason for that, and is there a way of forcing the dates ?

Thanks for your help.

[MikeD]

Technically, you don't want the third Wednesday of the month, as that would result in the incorrect time period for the rate that is underlying the future.  The ED future is basically a 3M FRA (albeit convexity-less) that "fixes" on T-2 days before the IMM date (on the Monday), has value date of the following Wednesday, and matures 3M forward from the value date.  Many people make the (technically incorrect) assumption that the underlying rate goes from IMM date to IMM date. 

On Mon, Mar 7, 2011 at 4:28 PM, GL_QL <[hidden email]> wrote:

Hey there,

to be more precise, when I use the FuturesRateHelper function to bootstrap
my yieldcurve, instead of having the maturity of the future as a yield curve
date (3rd wednesday of the month), I get the starting date of the future +
90 days. Is there a way of changing this convention to have the 3rd
wednesday of the month as a yield curve date ?

Thanks in advance.

GL_QL wrote:
>
> Hey there,
>
>
> I am trying to bootstrap a US yield curve in QuantlibXL, but I have issues
> with the dates that I am getting from the function
> qlPiecewiseYieldCurveDates.
>
> Let's take for example the curve as of February 28th 2011. For the
> Deposits, I am using the UnitedKingdom::Exchange calendar, then TARGET for
> the Eurodollar futures, and UnitedStates::NYSE for the swaps.
> When creating the Future Rate Helper, I am using either the IMM codes or
> the IMM dates produced by the function qlIMMNextCodes or qlIMMNextDates. I
> then bootstrap the yield curve.
>
> When using the function qlPiecewiseYieldCurveDates to get the dates from
> the curve, the dates corresponding to the Eurodollar futures will be
> different from the maturity dates from qlIMMNextDates. For example, March
> 16th 2011 vs March 15th 2011, or September 15th 2011 vs September 21st
> 2011. What is the reason for that, and is there a way of forcing the dates
> ?
>
> Thanks for your help.
>
>

--

View this message in context: http://old.nabble.com/Yield-Curve---Calendar-Issue-tp31070816p31092411.html

Sent from the quantlib-users mailing list archive at Nabble.com.


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[GL_QL]

Hello Mike,

thanks for your answer. I totally agree with the fact that you should consider the maturity of the underlying, but I think the market convention is to take the IMM maturity date (cf for example the book "the Eurodollar Futures and Options Handbook", co-written with the CME). All the pricers I know are using this convention as well. Do you know if there is a way of switching to this convention ?

Thanks a lot for your help.

Mike DelMedico wrote

Technically, you don't want the third Wednesday of the month, as that would
result in the incorrect time period for the rate that is underlying the
future.  The ED future is basically a 3M FRA (albeit convexity-less) that
"fixes" on T-2 days before the IMM date (on the Monday), has value date of
the following Wednesday, and matures 3M forward from the value date.  Many
people make the (technically incorrect) assumption that the underlying rate
goes from IMM date to IMM date.

On Mon, Mar 7, 2011 at 4:28 PM, GL_QL <[e-mail]> wrote:

>
> Hey there,
>
> to be more precise, when I use the FuturesRateHelper function to bootstrap
> my yieldcurve, instead of having the maturity of the future as a yield
> curve
> date (3rd wednesday of the month), I get the starting date of the future +
> 90 days. Is there a way of changing this convention to have the 3rd
> wednesday of the month as a yield curve date ?
>
> Thanks in advance.
>
>
>
> GL_QL wrote:
> >
> > Hey there,
> >
> >
> > I am trying to bootstrap a US yield curve in QuantlibXL, but I have
> issues
> > with the dates that I am getting from the function
> > qlPiecewiseYieldCurveDates.
> >
> > Let's take for example the curve as of February 28th 2011. For the
> > Deposits, I am using the UnitedKingdom::Exchange calendar, then TARGET
> for
> > the Eurodollar futures, and UnitedStates::NYSE for the swaps.
> > When creating the Future Rate Helper, I am using either the IMM codes or
> > the IMM dates produced by the function qlIMMNextCodes or qlIMMNextDates.
> I
> > then bootstrap the yield curve.
> >
> > When using the function qlPiecewiseYieldCurveDates to get the dates from
> > the curve, the dates corresponding to the Eurodollar futures will be
> > different from the maturity dates from qlIMMNextDates. For example, March
> > 16th 2011 vs March 15th 2011, or September 15th 2011 vs September 21st
> > 2011. What is the reason for that, and is there a way of forcing the
> dates
> > ?
> >
> > Thanks for your help.
> >
> >
>
> --
> View this message in context:
> http://old.nabble.com/Yield-Curve---Calendar-Issue-tp31070816p31092411.html
> Sent from the quantlib-users mailing list archive at Nabble.com.
>
>
>
> ------------------------------------------------------------------------------
> What You Don't Know About Data Connectivity CAN Hurt You
> This paper provides an overview of data connectivity, details
> its effect on application quality, and explores various alternative
> solutions. http://p.sf.net/sfu/progress-d2d
> _______________________________________________
> QuantLib-users mailing list
> [e-mail]
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>

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[Ferdinando M. Ametrano-3]

On Wed, Mar 9, 2011 at 5:28 PM, GL_QL <[hidden email]> wrote:
> I totally agree with the fact that you should
> consider the maturity of the underlying, but I think the market convention
> is to take the IMM maturity date

I would call it a "common approximation" instead of a "market
convention" and I can grant you it's not widespread in real trading
environment

> Do you know if there is a way of
> switching to this convention ?

it's not available yet, but I will add it in the repository

ciao -- Nando

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[GL_QL]

Ok, thanks a lot for your great help !