ask help on swapratehelper earilst date
Locked
ask help on swapratehelper earilst date
 
|
Sorry for asking stupid questions: Could anybody help
me on the use of SwapRateHelper? In the relavant code below, the evaluation date is 01/17, settlement date is 01/22, but the swapratehelper s1y gives an earilest datet 01/21 so the bootstrap fails. Thanks a lot! Calendar calendar =UnitedStates(); Date todaysDate(17,Jan,2008); Integer fixingDays = 2; Date settlementDate = calendar.advance(todaysDate, fixingDays, Days); Settings::instance().evaluationDate() = todaysDate; Frequency swFixedLegFrequency = Semiannual; BusinessDayConvention swFixedLegConvention = ModifiedFollowing; DayCounter swFixedLegDayCounter = Thirty360(Thirty360::USA); boost::shared_ptr<IborIndex> swFloatingLegIndex(new USDLibor(Period(3,Months))); boost::shared_ptr<RateHelper> s1y(new SwapRateHelper( Handle<Quote>(s1yRate), 1*Years, calendar, swFixedLegFrequency, swFixedLegConvention, swFixedLegDayCounter, swFloatingLegIndex)); ____________________________________________________________________________________ Looking for last minute shopping deals? Find them fast with Yahoo! Search. http://tools.search.yahoo.com/newsearch/category.php?category=shopping ------------------------------------------------------------------------- This SF.net email is sponsored by: Microsoft Defy all challenges. Microsoft(R) Visual Studio 2008. http://clk.atdmt.com/MRT/go/vse0120000070mrt/direct/01/ _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
|
|
Hi, Elton:
Seems no problem to me with QL 0.8 I added two line to output the dates std::cout << " settlementDate=" << settlementDate << std::endl; std::cout << " s1y->earliestDate()=" << s1y->earliestDate() << std::endl; The output is: settlementDate=January 22nd, 2008 s1y->earliestDate()=January 22nd, 2008 Your code boost::shared_ptr<RateHelper> s1y(new SwapRateHelper( Handle<Quote>(s1yRate), 1*Years, //need fixingDays, calendar, swFixedLegFrequency, swFixedLegConvention, swFixedLegDayCounter, swFloatingLegIndex)); misses one argument and should not compile. Good Luck. ------------------------------------ Peter Li -----Original Message----- From: [hidden email] [mailto:[hidden email]] On Behalf Of elton wang Sent: Thursday, January 17, 2008 9:53 AM To: [hidden email] Subject: [Quantlib-users] ask help on swapratehelper earilst date Sorry for asking stupid questions: Could anybody help me on the use of SwapRateHelper? In the relavant code below, the evaluation date is 01/17, settlement date is 01/22, but the swapratehelper s1y gives an earilest datet 01/21 so the bootstrap fails. Thanks a lot! Calendar calendar =UnitedStates(); Date todaysDate(17,Jan,2008); Integer fixingDays = 2; Date settlementDate = calendar.advance(todaysDate, fixingDays, Days); Settings::instance().evaluationDate() = todaysDate; Frequency swFixedLegFrequency = Semiannual; BusinessDayConvention swFixedLegConvention = ModifiedFollowing; DayCounter swFixedLegDayCounter = Thirty360(Thirty360::USA); boost::shared_ptr<IborIndex> swFloatingLegIndex(new USDLibor(Period(3,Months))); boost::shared_ptr<RateHelper> s1y(new SwapRateHelper( Handle<Quote>(s1yRate), 1*Years, calendar, swFixedLegFrequency, swFixedLegConvention, swFixedLegDayCounter, swFloatingLegIndex)); ________________________________________________________________________ ____________ Looking for last minute shopping deals? Find them fast with Yahoo! Search. http://tools.search.yahoo.com/newsearch/category.php?category=shopping ------------------------------------------------------------------------ - This SF.net email is sponsored by: Microsoft Defy all challenges. Microsoft(R) Visual Studio 2008. http://clk.atdmt.com/MRT/go/vse0120000070mrt/direct/01/ _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users ------------------------------------------------------------------------- This SF.net email is sponsored by: Microsoft Defy all challenges. Microsoft(R) Visual Studio 2008. http://clk.atdmt.com/MRT/go/vse0120000070mrt/direct/01/ _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
Re: ask help on swapratehelper earilst date
|
|
Thanks Peter,
I am using ver 0.9. for the constructor below, there is no need to place fixingDays? SwapRateHelper (const Handle< Quote > &rate, const Period &tenor, const Calendar &calendar, Frequency fixedFrequency, BusinessDayConvention fixedConvention, const DayCounter &fixedDayCount, const boost::shared_ptr< IborIndex > &iborIndex, const Handle< Quote > &spread=Handle< Quote >(), const Period &fwdStart=0 *Days) http://quantlib.org/reference/class_quant_lib_1_1_swap_rate_helper.html --- "Li, Peter" <[hidden email]> wrote: > Hi, Elton: > Seems no problem to me with QL 0.8 > I added two line to output the dates > std::cout << " settlementDate=" << settlementDate << > std::endl; > > std::cout << " s1y->earliestDate()=" << > s1y->earliestDate() << > std::endl; > > The output is: > > settlementDate=January 22nd, 2008 > s1y->earliestDate()=January 22nd, 2008 > > Your code > boost::shared_ptr<RateHelper> s1y(new > SwapRateHelper( > Handle<Quote>(s1yRate), 1*Years, //need > fixingDays, > > calendar, swFixedLegFrequency, > swFixedLegConvention, > swFixedLegDayCounter, > swFloatingLegIndex)); > misses one argument and should not compile. > > Good Luck. > ------------------------------------ > Peter Li > > -----Original Message----- > From: [hidden email] > > On Behalf Of elton > wang > Sent: Thursday, January 17, 2008 9:53 AM > To: [hidden email] > Subject: [Quantlib-users] ask help on swapratehelper > earilst date > > Sorry for asking stupid questions: Could anybody > help > me on the use of SwapRateHelper? In the relavant > code > below, the evaluation date is 01/17, settlement date > is 01/22, but the swapratehelper s1y gives an > earilest > datet 01/21 so the bootstrap fails. > > Thanks a lot! > > Calendar calendar =UnitedStates(); > Date todaysDate(17,Jan,2008); > Integer fixingDays = 2; > Date settlementDate = calendar.advance(todaysDate, > fixingDays, Days); > > Settings::instance().evaluationDate() = todaysDate; > > > Frequency swFixedLegFrequency = Semiannual; > BusinessDayConvention swFixedLegConvention = > ModifiedFollowing; > DayCounter swFixedLegDayCounter = > Thirty360(Thirty360::USA); > boost::shared_ptr<IborIndex> > swFloatingLegIndex(new USDLibor(Period(3,Months))); > > boost::shared_ptr<RateHelper> s1y(new > SwapRateHelper( > Handle<Quote>(s1yRate), 1*Years, > calendar, swFixedLegFrequency, > swFixedLegConvention, > swFixedLegDayCounter, > swFloatingLegIndex)); > > > > > ____________ > Looking for last minute shopping deals? > Find them fast with Yahoo! Search. > http://tools.search.yahoo.com/newsearch/category.php?category=shopping > > ------------------------------------------------------------------------ > - > This SF.net email is sponsored by: Microsoft > Defy all challenges. Microsoft(R) Visual Studio > 2008. > http://clk.atdmt.com/MRT/go/vse0120000070mrt/direct/01/ > _______________________________________________ > QuantLib-users mailing list > [hidden email] > https://lists.sourceforge.net/lists/listinfo/quantlib-users > ____________________________________________________________________________________ Never miss a thing. Make Yahoo your home page. http://www.yahoo.com/r/hs ------------------------------------------------------------------------- This SF.net email is sponsored by: Microsoft Defy all challenges. Microsoft(R) Visual Studio 2008. http://clk.atdmt.com/MRT/go/vse0120000070mrt/direct/01/ _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
Re: ask help on swapratehelper earilst date
|
|
In reply to this post by elton wang
cput from the code below. I am using QL ver 0.9. s1y
rate helper gives 01/21/08(ML King day) as the swap start date. anything I did wrong? Many thanks to Peter and all of you. Today: Thursday, January 17th, 2008 Settlement date: Tuesday, January 22nd, 2008 s1y->earliestDate()=January 21st, 2008 --- elton wang <[hidden email]> wrote: > Sorry for asking stupid questions: Could anybody > help > me on the use of SwapRateHelper? In the relavant > code > below, the evaluation date is 01/17, settlement date > is 01/22, but the swapratehelper s1y gives an > earilest > datet 01/21 so the bootstrap fails. > > Thanks a lot! > > Calendar calendar =UnitedStates(); > Date todaysDate(17,Jan,2008); > Integer fixingDays = 2; > Date settlementDate = calendar.advance(todaysDate, > fixingDays, Days); > > Settings::instance().evaluationDate() = todaysDate; > > > Frequency swFixedLegFrequency = Semiannual; > BusinessDayConvention swFixedLegConvention = > ModifiedFollowing; > DayCounter swFixedLegDayCounter = > Thirty360(Thirty360::USA); > boost::shared_ptr<IborIndex> > swFloatingLegIndex(new USDLibor(Period(3,Months))); > > boost::shared_ptr<RateHelper> s1y(new > SwapRateHelper( > Handle<Quote>(s1yRate), 1*Years, > calendar, swFixedLegFrequency, > swFixedLegConvention, > swFixedLegDayCounter, > swFloatingLegIndex)); > > > > > Looking for last minute shopping deals? > Find them fast with Yahoo! Search. > http://tools.search.yahoo.com/newsearch/category.php?category=shopping > > ------------------------------------------------------------------------- > This SF.net email is sponsored by: Microsoft > Defy all challenges. Microsoft(R) Visual Studio > 2008. > http://clk.atdmt.com/MRT/go/vse0120000070mrt/direct/01/ > _______________________________________________ > QuantLib-users mailing list > [hidden email] > https://lists.sourceforge.net/lists/listinfo/quantlib-users > ____________________________________________________________________________________ Never miss a thing. Make Yahoo your home page. http://www.yahoo.com/r/hs ------------------------------------------------------------------------- This SF.net email is sponsored by: Microsoft Defy all challenges. Microsoft(R) Visual Studio 2008. http://clk.atdmt.com/MRT/go/vse0120000070mrt/direct/01/ _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
|
|
Hello, Elton:
The answer is: The swap in SwapRateHelper uses USDLibor-> fixingCalendar(), which is London stock exchange, to construct the floating and fixed leg but you used Calendar calendar =UnitedStates() to get the settlement date. ------------------------------------ Peter -----Original Message----- From: [hidden email] [mailto:[hidden email]] On Behalf Of elton wang Sent: Thursday, January 17, 2008 10:54 AM To: [hidden email] Subject: Re: [Quantlib-users] ask help on swapratehelper earilst date cput from the code below. I am using QL ver 0.9. s1y rate helper gives 01/21/08(ML King day) as the swap start date. anything I did wrong? Many thanks to Peter and all of you. Today: Thursday, January 17th, 2008 Settlement date: Tuesday, January 22nd, 2008 s1y->earliestDate()=January 21st, 2008 --- elton wang <[hidden email]> wrote: > Sorry for asking stupid questions: Could anybody > help > me on the use of SwapRateHelper? In the relavant > code > below, the evaluation date is 01/17, settlement date > is 01/22, but the swapratehelper s1y gives an > earilest > datet 01/21 so the bootstrap fails. > > Thanks a lot! > > Calendar calendar =UnitedStates(); > Date todaysDate(17,Jan,2008); > Integer fixingDays = 2; > Date settlementDate = calendar.advance(todaysDate, > fixingDays, Days); > > Settings::instance().evaluationDate() = todaysDate; > > > Frequency swFixedLegFrequency = Semiannual; > BusinessDayConvention swFixedLegConvention = > ModifiedFollowing; > DayCounter swFixedLegDayCounter = > Thirty360(Thirty360::USA); > boost::shared_ptr<IborIndex> > swFloatingLegIndex(new USDLibor(Period(3,Months))); > > boost::shared_ptr<RateHelper> s1y(new > SwapRateHelper( > Handle<Quote>(s1yRate), 1*Years, > calendar, swFixedLegFrequency, > swFixedLegConvention, > swFixedLegDayCounter, > swFloatingLegIndex)); > > > > ____________ > Looking for last minute shopping deals? > Find them fast with Yahoo! Search. > http://tools.search.yahoo.com/newsearch/category.php?category=shopping > > ------------------------------------------------------------------------ - > This SF.net email is sponsored by: Microsoft > Defy all challenges. Microsoft(R) Visual Studio > 2008. > http://clk.atdmt.com/MRT/go/vse0120000070mrt/direct/01/ > _______________________________________________ > QuantLib-users mailing list > [hidden email] > https://lists.sourceforge.net/lists/listinfo/quantlib-users > ________________________________________________________________________ ____________ Never miss a thing. Make Yahoo your home page. http://www.yahoo.com/r/hs ------------------------------------------------------------------------ - This SF.net email is sponsored by: Microsoft Defy all challenges. Microsoft(R) Visual Studio 2008. http://clk.atdmt.com/MRT/go/vse0120000070mrt/direct/01/ _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users ------------------------------------------------------------------------- This SF.net email is sponsored by: Microsoft Defy all challenges. Microsoft(R) Visual Studio 2008. http://clk.atdmt.com/MRT/go/vse0120000070mrt/direct/01/ _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
«
Return to quantlib-users
|
1 view|%1 views
| Free forum by Nabble | Edit this page |