Hi all,
I've just started to use quantlib excel to build EURIBOR and LIBOR benchmark yield curves for pricing equity derivatives, and have a few questions.
1. In the example spreadsheet YieldCurveBootstrapping.xls, what do the month values 3,4,...,10 in cells F12 to F19 of the RateHelpers tab correspond to when used as arguments for the qlFuturesRateHelper function calls?
2. How does qlPiecewiseYieldCurve know what the tenor of the underlying *ibor is of the input futures contracts?
3. Is the traitsId argument in qlPiecewiseYieldCurve for selecting what form (eg discount factors) the input data should take when applying the choosen interpolation method (eg linear)?
4. If I wanted to generate a continuously compounded rates for use in calculations like implying the cash value of an equity index from its index futures contract (eg DAX 30), a correct approach would be calling qlPiecewiseYieldCurve with the arguments;
| NDays |
0 |
| Calendar |
Target |
| DayCounter |
Actual/Actual (ISDA) |
| TraitsID |
Discount |
| InterpolatorID |
LogLinear |
and the desired rates would then be got with
=qlYieldTSZeroRate(obj_...,date,"
Actual/Actual (ISDA)","Continuous","Annual")
(and EURO deposit and EURIBOR futures would be the curve inputs)?
thanks and regards,
Piers August
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