qlBucketAnalysis always returns 0 for delta and gamma
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qlBucketAnalysis always returns 0 for delta and gamma
 
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Dear QuantLib users,
I'm trying to figure out how to use qlBucketAnalysis. It seems that there is not so much working samples and literature on the function even in Workbooks. After digging in the source codes and spending a couple of days, I'm asking for help. For some reasons, qlBucketAnalysis always returns 0 as delta and gamma values. When qlBucketAnalysis is called, it eventually gets to sensitivityanalysis.cpp. In there,
pair<Real, Real> bucketAnalysis(Handle<SimpleQuote> quote, const vector<shared_ptr<Instrument> >& instruments,
const vector<Real>& quantities, Real shift, SensitivityAnalysis type, Real referenceNpv) {
QL_REQUIRE(shift!=0.0, "zero shift not allowed"); pair<Real, Real> result(0.0, 0.0); if (instruments.empty()) return result; if (referenceNpv==Null<Real>()) referenceNpv = aggregateNPV(instruments, quantities); if (!quote->isValid()) return result; Real quoteValue = quote->value();
try { quote->setValue(quoteValue+shift); Real npv = aggregateNPV(instruments, quantities); switch (type) { case OneSide:
result.first = (npv-referenceNpv)/shift; result.second = Null<Real>(); break; case Centered: {
quote->setValue(quoteValue-shift); Real npv2 = aggregateNPV(instruments, quantities); result.first = (npv-npv2)/(2.0*shift);
result.second = (npv-2.0*referenceNpv+npv2)/(shift*shift); } break; default: QL_FAIL("unknown SensitivityAnalysis (" <<
Integer(type) << ")"); } quote->setValue(quoteValue); } catch (...) { quote->setValue(quoteValue);
throw; } return result; } So the story goes that delta is being calculated based on the difference between npv2 and npv. I guess that after the shifted quote value is set, quantlib newly calculates npv2. The problem is that no matter what shifted values are set, the same value as in npv is returned for npv2.
I think I must have misused the function. Would appreciate for any tips. The attached is the xlsm file with vbas and quantlib functions. Thanks in advance. Hyungseok Hahm, PhD, FRM ------------------------------------------------------------------------------ This SF.net email is sponsored by Windows: Build for Windows Store. http://p.sf.net/sfu/windows-dev2dev _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
QL_Swap_Stripped_20130618.zip (58K)
Re: qlBucketAnalysis always returns 0 for delta and gamma
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R: qlBucketAnalysis always returns 0 for delta and gamma
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Re: R: qlBucketAnalysis always returns 0 for delta and gamma
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Re: R: qlBucketAnalysis always returns 0 for delta and gamma
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R: R: qlBucketAnalysis always returns 0 for delta and gamma
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1/10000 is one basis point, that’s the unit against which sensitivities are ordinarily calculated. Gerardo Gerardo Ballabio Risk Management Banca Profilo S.p.A.
Via Cerva 28 - 20122 Milano
Tel. +39 02 58408.463
Da: Carl S. [mailto:[hidden email]]
Thank you, but Gerardo's email was enough for me to figure it out. I didn't know I could pass a simpleQuote to a rateHelper, which then provided the link between the sensitivity function and the curve. I am
calculating reasonable results now, although I have had to set the "quantities" parameter in qlbucketanalysis() to 1/10000 (not sure why, but it works for all of my swaps). Thank you. On Tue, Apr 22, 2014 at 2:55 PM, Ferdinando M. Ametrano <[hidden email]> wrote: I might be able to help next week. I've prepared such an example for one of my students´ thesis, slightly modifying one of the standalone example that I will contribute back on git On Apr 22, 2014 3:43 PM, "Ballabio Gerardo" <[hidden email]> wrote: Using a SimpleQuote as a parameter of RateHelper is definitely supported. I've done that and it works for me.
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Re: R: R: qlBucketAnalysis always returns 0 for delta and gamma
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Sensitivities are finite difference derivatives, the shift used is an input, the default input is 0.0001. On Apr 23, 2014 8:58 AM, "Ballabio Gerardo" <[hidden email]> wrote:
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Re: qlBucketAnalysis always returns 0 for delta and gamma
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In reply to this post by Hyung-Seok Hahm
Dear all, I guess it has been already resolved, but for those who needs a concrete working sample, I provide one here. So the key is that one has to use a SimpleQuote parameter in the qlBucketAnalysis, which has been used to build a forward curve.
Thank you all for the useful comments. Best, Hyungseok On Wed, Jun 19, 2013 at 2:24 PM, Hyung-Seok Hahm <[hidden email]> wrote:
Hyungseok Hahm, PhD, FRM Quantitative Analyst Industrial Bank of Korea Tel : 82-2-729-7081 E-mail : [hidden email] LinkedIn: http://kr.linkedin.com/pub/dir/Hyung-seok/Hahm ------------------------------------------------------------------------------ Time is money. Stop wasting it! Get your web API in 5 minutes. www.restlet.com/download http://p.sf.net/sfu/restlet _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
Re: qlBucketAnalysis always returns 0 for delta and gamma
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