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addFixings example needed

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Christian Bøhlke

addFixings example needed

Hi I am trying to implement the swapexample included in the quantlib library on some "real" data. I can figure out how to manually add a fixing day to an index via addFixing. However, due to my limited knowledge of templated classes, I can not deduce how to approach the addFixings method. That is using template<class DateIterator, class ValueIterator> on the method
void	addFixings (DateIterator dBegin, DateIterator dEnd, ValueIterator vBegin)

If someone could provide an example on how to approach the addFixings method I would be very happy.

Thanks in advance,

Christian Bohlke

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Luigi Ballabio

Re: addFixings example needed

You can use the begin() and end() methods to extract iterators from C++
containers such as std::vector.

vector<Date> dates;
vector<Real> fixings;

... (fill the vectors)

index.addFixings(dates.begin(), dates.end(), fixings.begin());

Regards,
Luigi

On Thu, 2011-10-20 at 15:50 +0200, Christian Bøhlke wrote:

> Hi
>
> I am trying to implement the
> swapexample included in
> the quantlib library on some "real"
> data.
>
> I can figure out how to manually
> add a fixing day to an index via
> addFixing. However, due to
> my limited knowledge of templated
> classes, I can not deduce how to
> approach the addFixings method.
>
> That is using template<class
> DateIterator, class ValueIterator>
> on the method
>
> void
> addFixings (DateIterator dBegin,
> DateIterator dEnd, ValueIterator
> vBegin)
>
> If someone could provide an example on how to approach the addFixings
> method I would be very happy.
>
> Thanks in advance,
>
> Christian Bohlke
> ------------------------------------------------------------------------------
> The demand for IT networking professionals continues to grow, and the
> demand for specialized networking skills is growing even more rapidly.
> Take a complimentary Learning@Ciosco Self-Assessment and learn
> about Cisco certifications, training, and career opportunities.
> http://p.sf.net/sfu/cisco-dev2dev
> _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users

--

It is better to know some of the questions than all of the answers.
-- James Thurber

------------------------------------------------------------------------------
The demand for IT networking professionals continues to grow, and the
demand for specialized networking skills is growing even more rapidly.
Take a complimentary Learning@Ciosco Self-Assessment and learn
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http://p.sf.net/sfu/cisco-dev2dev
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Christian Bøhlke

Re: addFixings example needed

Thanks Luigi, it works!

My approach in pricing the swaps is as follows:

Pull Euro-swap quotes from Bloomberg and build a Euroswap curve using QLs Bootstrap+Cubic Spline curvebuilding functionality
Create a swap, for example

Issue date: 1/4/2008
Maturity date: 12/9/2034
Nominal: 16,825,000 EUR
Swap type: Fixed 4.415% against Euribor 6M ACT/360

Set Settings::instance().evaluationDate() to 10/19/2011
Set discountingTermStructure.linkTo to the estimated termstructure
Set the Missing Euribor6M Actual/360 fixing for June 30th, 2011 to 1.788% using the .addFixing method
Price the swap using the associated functions

.NPV()
.fixedLegNPV()
.floatingLegNPV()

My problem is that I get NPVs that are way off.

I get

NPV | fixedNPV | floatingNPV
-------------------------------------------------------------
5,426,635.41 | 13,476,292.14 | -8,049,656.74

where I would expect something like

NPV | fixedNPV | floatingNPV
-------------------------------------------------------------

4,624,679 | 21,463,334 | -16.838.654

Can someone help me on what I am conceptually doing wrong?

Thanks in advance,

Christian Bohlke

On Thu, Oct 20, 2011 at 4:06 PM, Luigi Ballabio <[hidden email]> wrote:

You can use the begin() and end() methods to extract iterators from C++
containers such as std::vector.

vector<Date> dates;
vector<Real> fixings;

... (fill the vectors)

index.addFixings(dates.begin(), dates.end(), fixings.begin());

Regards,
Luigi

On Thu, <a href="tel:2011-10-20" value="+4520111020">2011-10-20 at 15:50 +0200, Christian Bøhlke wrote:
> Hi
>
> I am trying to implement the
> swapexample included in
> the quantlib library on some "real"
> data.
>
> I can figure out how to manually
> add a fixing day to an index via
> addFixing. However, due to
> my limited knowledge of templated
> classes, I can not deduce how to
> approach the addFixings method.
>
> That is using template<class
> DateIterator, class ValueIterator>
> on the method
>
> void
> addFixings (DateIterator dBegin,
> DateIterator dEnd, ValueIterator
> vBegin)
>
> If someone could provide an example on how to approach the addFixings
> method I would be very happy.
>
> Thanks in advance,
>
> Christian Bohlke
> ------------------------------------------------------------------------------
> The demand for IT networking professionals continues to grow, and the
> demand for specialized networking skills is growing even more rapidly.
> Take a complimentary Learning@Ciosco Self-Assessment and learn
> about Cisco certifications, training, and career opportunities.
> http://p.sf.net/sfu/cisco-dev2dev
> _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users

--

It is better to know some of the questions than all of the answers.
-- James Thurber

Lluis Pujol Bajador

Re: addFixings example needed

In reply to this post by Christian Bøhlke

Hi,

I believe that the swap object does not consider the final nominal payments. This should explain the Leg differences but does not explain the NPV difference.

Lluís

On Thu 20/10/11 17:41 , Christian Bøhlke <[hidden email]> wrote:

Thanks Luigi, it works!

My approach in pricing the swaps is as follows:

Pull Euro-swap quotes from Bloomberg and build a Euroswap curve using QLs Bootstrap+Cubic Spline curvebuilding functionality
Create a swap, for example

Issue date: 1/4/2008
Maturity date: 12/9/2034
Nominal: 16,825,000 EUR
Swap type: Fixed 4.415% against Euribor 6M ACT/360

Set Settings::instance().evaluationDate() to 10/19/2011
Set discountingTermStructure.linkTo to the estimated termstructure
Set the Missing Euribor6M Actual/360 fixing for June 30th, 2011 to 1.788% using the .addFixing method
Price the swap using the associated functions

.NPV()
.fixedLegNPV()
.floatingLegNPV()

My problem is that I get NPVs that are way off.

I get

NPV          | fixedNPV      | floatingNPV
-------------------------------------------------------------
5,426,635.41 | 13,476,292.14 | -8,049,656.74



where I would expect something like

NPV          | fixedNPV      | floatingNPV
-------------------------------------------------------------

4,624,679   | 21,463,334     | -16.838.654

Can someone help me on what I am conceptually doing wrong?

Thanks in advance,

Christian Bohlke

On Thu, Oct 20, 2011 at 4:06 PM, Luigi Ballabio <<A href="javascript:top.opencompose('luigi.ballabio@gmail.com','','','')">luigi.ballabio@...> wrote:

You can use the begin() and end() methods to extract iterators from C++
containers such as std::vector.

vector<Date> dates;
vector<Real> fixings;

... (fill the vectors)

index.addFixings(dates.begin(), dates.end(), fixings.begin());

Regards,
Luigi

On Thu, <A href="tel:2011-10-20" target=_blank value="+4520111020">2011-10-20 at 15:50 +0200, Christian Bøhlke wrote:
> Hi
>
> I am trying to implement the
> swapexample included in
> the quantlib library on some "real"
> data.
>
> I can figure out how to manually
> add a fixing day to an index via
> addFixing. However, due to
> my limited knowledge of templated
> classes, I can not deduce how to
> approach the addFixings method.
>
> That is using template<class
> DateIterator, class ValueIterator>
> on the method
>
> void
> addFixings (DateIterator dBegin,
> DateIterator dEnd, ValueIterator
> vBegin)
>
> If someone could provide an example on how to approach the addFixings
> method I would be very happy.
>
> Thanks in advance,
>
> Christian Bohlke

> ------------------------------------------------------------------------------
> The demand for IT networking professionals continues to grow, and the
> demand for specialized networking skills is growing even more rapidly.
> Take a complimentary Learning@Ciosco Self-Assessment and learn
> about Cisco certifications, training, and career opportunities.
> http://p.sf.net/sfu/cisco-dev2dev
> _______________________________________________ QuantLib-users mailing list <A href="javascript:top.opencompose('QuantLib-users@lists.sourceforge.net','','','')">QuantLib-users@... https://lists.sourceforge.net/lists/listinfo/quantlib-users

--

It is better to know some of the questions than all of the answers.
-- James Thurber

------------------------------------------------------------------------------
The demand for IT networking professionals continues to grow, and the
demand for specialized networking skills is growing even more rapidly.
Take a complimentary <A href="javascript:top.opencompose('Learning@Ciosco','','','1')">Learning@Ciosco Self-Assessment and learn
about Cisco certifications, training, and career opportunities.
http://p.sf.net/sfu/cisco-dev2dev

_______________________________________________
QuantLib-users mailing list
<A href="javascript:top.opencompose('QuantLib-users@lists.sourceforge.net','','','1')">QuantLib-users@...
https://lists.sourceforge.net/lists/listinfo/quantlib-users

Simon Ibbotson-2

Re: addFixings example needed

In reply to this post by Christian Bøhlke

Why would you expect a Fixed Leg NPV of over 21mm?

4.415% x 16825000 x 23 = 17mm approx. (23 is approx. number of years left which would be much greater than the PV01). Therefore the Fixed Leg NPV must be less than this number.

Where are you getting the other number from? Bloomberg? If so, be careful that it is not including a back-end notional...

From: Christian Bøhlke [mailto:[hidden email]]
Sent: 20 October 2011 16:41
To: [hidden email]
Cc: [hidden email]
Subject: Re: [Quantlib-users] addFixings example needed

Thanks Luigi, it works!

My approach in pricing the swaps is as follows:

Pull Euro-swap quotes from Bloomberg and build a Euroswap curve using QLs Bootstrap+Cubic Spline curvebuilding functionality
Create a swap, for example
- Issue date: 1/4/2008
- Maturity date: 12/9/2034
- Nominal: 16,825,000 EUR
- Swap type: Fixed 4.415% against Euribor 6M ACT/360
Set Settings::instance().evaluationDate() to 10/19/2011
Set discountingTermStructure.linkTo to the estimated termstructure
Set the Missing Euribor6M Actual/360 fixing for June 30th, 2011 to 1.788% using the .addFixing method
Price the swap using the associated functions
- .NPV()
- .fixedLegNPV()
- .floatingLegNPV()

My problem is that I get NPVs that are way off.

I get

NPV | fixedNPV | floatingNPV
-------------------------------------------------------------
5,426,635.41 | 13,476,292.14 | -8,049,656.74

where I would expect something like

NPV | fixedNPV | floatingNPV
-------------------------------------------------------------

4,624,679 | 21,463,334 | -16.838.654

Can someone help me on what I am conceptually doing wrong?

Thanks in advance,

Christian Bohlke

On Thu, Oct 20, 2011 at 4:06 PM, Luigi Ballabio <[hidden email]> wrote:

You can use the begin() and end() methods to extract iterators from C++
containers such as std::vector.

vector<Date> dates;
vector<Real> fixings;

... (fill the vectors)

index.addFixings(dates.begin(), dates.end(), fixings.begin());

Regards,
Luigi

On Thu, <A href="tel:2011-10-20" value="+4520111020">2011-10-20 at 15:50 +0200, Christian Bøhlke wrote:

> Hi
>
> I am trying to implement the
> swapexample included in
> the quantlib library on some "real"
> data.
>
> I can figure out how to manually
> add a fixing day to an index via
> addFixing. However, due to
> my limited knowledge of templated
> classes, I can not deduce how to
> approach the addFixings method.
>
> That is using template<class
> DateIterator, class ValueIterator>
> on the method
>
> void
> addFixings (DateIterator dBegin,
> DateIterator dEnd, ValueIterator
> vBegin)
>
> If someone could provide an example on how to approach the addFixings
> method I would be very happy.
>
> Thanks in advance,
>
> Christian Bohlke
> ------------------------------------------------------------------------------
> The demand for IT networking professionals continues to grow, and the
> demand for specialized networking skills is growing even more rapidly.
> Take a complimentary Learning@Ciosco Self-Assessment and learn
> about Cisco certifications, training, and career opportunities.
> http://p.sf.net/sfu/cisco-dev2dev
> _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users

--

It is better to know some of the questions than all of the answers.
-- James Thurber

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Luigi Ballabio

Re: addFixings example needed

In reply to this post by Christian Bøhlke

Does Bloomberg provide some cash-flow analysis? In QuantLib, you can
extract the legs from the swap and ask each cashflow for its date and
amount (not discounted, mind you). You might start checking that you
don't have big differences there.

Luigi

On Thu, 2011-10-20 at 17:41 +0200, Christian Bøhlke wrote:

> Thanks Luigi, it works!
>
> My approach in pricing the swaps is as follows:
> * Pull Euro-swap quotes from Bloomberg and build a Euroswap
> curve using QLs Bootstrap+Cubic Spline curvebuilding
> functionality
> * Create a swap, for example
> * Issue date: 1/4/2008
> * Maturity date: 12/9/2034
> * Nominal: 16,825,000 EUR
> * Swap type: Fixed 4.415% against Euribor 6M ACT/360
> * Set Settings::instance().evaluationDate() to 10/19/2011
> * Set discountingTermStructure.linkTo to the estimated
> termstructure
> * Set the Missing Euribor6M Actual/360 fixing for June 30th,
> 2011 to 1.788% using the .addFixing method
> * Price the swap using the associated functions
> * .NPV()
> * .fixedLegNPV()
> * .floatingLegNPV()
>
> My problem is that I get NPVs that are way off.
>
> I get
>
> NPV | fixedNPV | floatingNPV
> -------------------------------------------------------------
> 5,426,635.41 | 13,476,292.14 | -8,049,656.74
>
> where I would expect something like
>
> NPV | fixedNPV | floatingNPV
> -------------------------------------------------------------
> 4,624,679 | 21,463,334 | -16.838.654
>
>
> Can someone help me on what I am conceptually doing wrong?
>
> Thanks in advance,
>
> Christian Bohlke
>
>
>
> On Thu, Oct 20, 2011 at 4:06 PM, Luigi Ballabio
> <[hidden email]> wrote:
>
>
> You can use the begin() and end() methods to extract iterators
> from C++
> containers such as std::vector.
>
> vector<Date> dates;
> vector<Real> fixings;
>
> ... (fill the vectors)
>
> index.addFixings(dates.begin(), dates.end(), fixings.begin());
>
>
> Regards,
> Luigi
>
>
>
> On Thu, 2011-10-20 at 15:50 +0200, Christian Bøhlke wrote:
> > Hi
> >
> > I am trying to implement the
> > swapexample included in
> > the quantlib library on some "real"
> > data.
> >
> > I can figure out how to manually
> > add a fixing day to an index via
> > addFixing. However, due to
> > my limited knowledge of templated
> > classes, I can not deduce how to
> > approach the addFixings method.
> >
> > That is using template<class
> > DateIterator, class ValueIterator>
> > on the method
> >
> > void
> > addFixings (DateIterator dBegin,
> > DateIterator dEnd, ValueIterator
> > vBegin)
> >
> > If someone could provide an example on how to approach the
> addFixings
> > method I would be very happy.
> >
> > Thanks in advance,
> >
> > Christian Bohlke
>
> >
> ------------------------------------------------------------------------------
> > The demand for IT networking professionals continues to
> grow, and the
> > demand for specialized networking skills is growing even
> more rapidly.
> > Take a complimentary Learning@Ciosco Self-Assessment and
> learn
> > about Cisco certifications, training, and career
> opportunities.
> > http://p.sf.net/sfu/cisco-dev2dev
> > _______________________________________________
> QuantLib-users mailing list
> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>
> --
>
> It is better to know some of the questions than all of the
> answers.
> -- James Thurber
>
>
>

--

A human being should be able to change a diaper, plan an invasion,
butcher a hog, conn a ship, design a building, write a sonnet, balance
accounts, build a wall, set a bone, comfort the dying, take orders,
give orders, cooperate, act alone, solve equations, analyze a new
problem, pitch manure, program a computer, cook a tasty meal, fight
efficiently, die gallantly. Specialization is for insects.
-- Robert A. Heinlein

------------------------------------------------------------------------------
The demand for IT networking professionals continues to grow, and the
demand for specialized networking skills is growing even more rapidly.
Take a complimentary Learning@Ciosco Self-Assessment and learn
about Cisco certifications, training, and career opportunities.
http://p.sf.net/sfu/cisco-dev2dev
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users

Christian Bøhlke

Re: addFixings example needed

Thanks everybody for the fast help!

It turned out that the figures I benchmarked against were wrong. Did som ad hoc calculations that convinced me on that. Now I am able to get figures from QuantLib, that are at least in the same ballpark as the (corrected) figures I want to replicate.

Best,

Christian

On Thu, Oct 20, 2011 at 6:09 PM, Luigi Ballabio <[hidden email]> wrote:

Does Bloomberg provide some cash-flow analysis? In QuantLib, you can
extract the legs from the swap and ask each cashflow for its date and
amount (not discounted, mind you). You might start checking that you
don't have big differences there.

Luigi

On Thu, <a href="tel:2011-10-20" value="+4520111020">2011-10-20 at 17:41 +0200, Christian Bøhlke wrote:
> Thanks Luigi, it works!
>
> My approach in pricing the swaps is as follows:

> * Pull Euro-swap quotes from Bloomberg and build a Euroswap

> curve using QLs Bootstrap+Cubic Spline curvebuilding
> functionality

> * Create a swap, for example
> * Issue date: 1/4/2008
> * Maturity date: 12/9/2034
> * Nominal: 16,825,000 EUR
> * Swap type: Fixed 4.415% against Euribor 6M ACT/360
> * Set Settings::instance().evaluationDate() to 10/19/2011
> * Set discountingTermStructure.linkTo to the estimated
> termstructure
> * Set the Missing Euribor6M Actual/360 fixing for June 30th,

> 2011 to 1.788% using the .addFixing method

> * Price the swap using the associated functions
> * .NPV()
> * .fixedLegNPV()
> * .floatingLegNPV()

>
> My problem is that I get NPVs that are way off.
>
> I get
>
> NPV | fixedNPV | floatingNPV
> -------------------------------------------------------------
> 5,426,635.41 | 13,476,292.14 | -8,049,656.74
>
> where I would expect something like
>
> NPV | fixedNPV | floatingNPV
> -------------------------------------------------------------
> 4,624,679 | 21,463,334 | -16.838.654
>
>
> Can someone help me on what I am conceptually doing wrong?
>
> Thanks in advance,
>
> Christian Bohlke
>
>
>
> On Thu, Oct 20, 2011 at 4:06 PM, Luigi Ballabio
> <[hidden email]> wrote:
>
>
> You can use the begin() and end() methods to extract iterators
> from C++
> containers such as std::vector.
>
> vector<Date> dates;
> vector<Real> fixings;
>
> ... (fill the vectors)
>
> index.addFixings(dates.begin(), dates.end(), fixings.begin());
>
>
> Regards,
> Luigi
>
>
>
> On Thu, <a href="tel:2011-10-20" value="+4520111020">2011-10-20 at 15:50 +0200, Christian Bøhlke wrote:
> > Hi
> >
> > I am trying to implement the
> > swapexample included in
> > the quantlib library on some "real"
> > data.
> >
> > I can figure out how to manually
> > add a fixing day to an index via
> > addFixing. However, due to
> > my limited knowledge of templated
> > classes, I can not deduce how to
> > approach the addFixings method.
> >
> > That is using template<class
> > DateIterator, class ValueIterator>
> > on the method
> >
> > void
> > addFixings (DateIterator dBegin,
> > DateIterator dEnd, ValueIterator
> > vBegin)
> >
> > If someone could provide an example on how to approach the
> addFixings
> > method I would be very happy.
> >
> > Thanks in advance,
> >
> > Christian Bohlke
>
> >
> ------------------------------------------------------------------------------
> > The demand for IT networking professionals continues to
> grow, and the
> > demand for specialized networking skills is growing even
> more rapidly.
> > Take a complimentary Learning@Ciosco Self-Assessment and
> learn
> > about Cisco certifications, training, and career
> opportunities.
> > http://p.sf.net/sfu/cisco-dev2dev
> > _______________________________________________
> QuantLib-users mailing list
> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>
> --
>
> It is better to know some of the questions than all of the
> answers.
> -- James Thurber
>
>
>

--

A human being should be able to change a diaper, plan an invasion,
butcher a hog, conn a ship, design a building, write a sonnet, balance
accounts, build a wall, set a bone, comfort the dying, take orders,
give orders, cooperate, act alone, solve equations, analyze a new
problem, pitch manure, program a computer, cook a tasty meal, fight
efficiently, die gallantly. Specialization is for insects.
-- Robert A. Heinlein

------------------------------------------------------------------------------
The demand for IT networking professionals continues to grow, and the
demand for specialized networking skills is growing even more rapidly.
Take a complimentary Learning@Cisco Self-Assessment and learn
about Cisco certifications, training, and career opportunities.
http://p.sf.net/sfu/cisco-dev2dev
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users