qlLegDuration shows wrong number while qlLegBPS & NPV is correct
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qlLegDuration shows wrong number while qlLegBPS & NPV is correct
 
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In the same spreadsheet for the same vanilla ATM 5Y usd swap I'm computing duration and BPS,NPV
While bps shows 485(correct value for ATM 5Y) =qlLegBPS(FixedLeg,TermStructure,IncludeSettlementDateFlows,SettlementDate) NPV is close to 0 , also ok duration produced by formula is 2.6 does not make sense to me =qlLegDuration(FixedLeg,FixedLegRate,FixedLegDayCounter,"Simple","Semiannual","Modified",IncludeSettlementDateFlows,SettlementDate,SettlementDate) Does this formula really calculates duration? |
Re: qlLegDuration shows wrong number while qlLegBPS & NPV is correct
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why 2.6 doesn't make sense to you? On Tue, Oct 8, 2013 at 8:49 PM, imachabeli <[hidden email]> wrote: In the same spreadsheet for the same vanilla ATM 5Y usd swap I'm computing ------------------------------------------------------------------------------ October Webinars: Code for Performance Free Intel webinars can help you accelerate application performance. Explore tips for MPI, OpenMP, advanced profiling, and more. Get the most from the latest Intel processors and coprocessors. See abstracts and register > http://pubads.g.doubleclick.net/gampad/clk?id=60134071&iu=/4140/ostg.clktrk _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
Re: qlLegDuration shows wrong number while qlLegBPS & NPV is correct
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Ok. I see whats going on , the final payment of notional is not
included in the leg. Is there a way to include notional payment in
the both fixed and floating legs?
What does Duration of leg 2(floating leg) calculates? it returns something like 3.56 is it just a cashflow duration i.e. cash flow is kept constant(instead of adjusting for the rate shock) when rate shock is applied ? On 10/9/2013 5:05 AM, Ferdinando M. Ametrano wrote:
------------------------------------------------------------------------------ October Webinars: Code for Performance Free Intel webinars can help you accelerate application performance. Explore tips for MPI, OpenMP, advanced profiling, and more. Get the most from the latest Intel processors and coprocessors. See abstracts and register > http://pubads.g.doubleclick.net/gampad/clk?id=60134071&iu=/4140/ostg.clktrk _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
Re: qlLegDuration shows wrong number while qlLegBPS & NPV is correct
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In C++ you can make a copy of the leg and add the notional payment
manually; I'm not sure you can do it from Excel without modifying the swap class and recompiling. Duration of the floating leg is a cashflow duration as you guessed. Luigi On Wed, Oct 9, 2013 at 2:54 PM, Irakli Machabeli <[hidden email]> wrote: > Ok. I see whats going on , the final payment of notional is not included in > the leg. Is there a way to include notional payment in the both fixed and > floating legs? > What does Duration of leg 2(floating leg) calculates? it returns something > like 3.56 is it just a cashflow duration i.e. cash flow is kept > constant(instead of adjusting for the rate shock) when rate shock is applied > ? > > > On 10/9/2013 5:05 AM, Ferdinando M. Ametrano wrote: > > why 2.6 doesn't make sense to you? > > > On Tue, Oct 8, 2013 at 8:49 PM, imachabeli <[hidden email]> wrote: >> >> In the same spreadsheet for the same vanilla ATM 5Y usd swap I'm computing >> duration and BPS,NPV >> While bps shows 485(correct value for ATM 5Y) >> >> =qlLegBPS(FixedLeg,TermStructure,IncludeSettlementDateFlows,SettlementDate) >> >> NPV is close to 0 , also ok >> >> duration produced by formula is 2.6 does not make sense to me >> >> >> =qlLegDuration(FixedLeg,FixedLegRate,FixedLegDayCounter,"Simple","Semiannual","Modified",IncludeSettlementDateFlows,SettlementDate,SettlementDate) >> >> >> Does this formula really calculates duration? >> >> >> >> -- >> View this message in context: >> http://quantlib.10058.n7.nabble.com/qlLegDuration-shows-wrong-number-while-qlLegBPS-NPV-is-correct-tp14566.html >> Sent from the quantlib-users mailing list archive at Nabble.com. >> >> >> ------------------------------------------------------------------------------ >> October Webinars: Code for Performance >> Free Intel webinars can help you accelerate application performance. >> Explore tips for MPI, OpenMP, advanced profiling, and more. Get the most >> from >> the latest Intel processors and coprocessors. See abstracts and register > >> >> http://pubads.g.doubleclick.net/gampad/clk?id=60134071&iu=/4140/ostg.clktrk >> _______________________________________________ >> QuantLib-users mailing list >> [hidden email] >> https://lists.sourceforge.net/lists/listinfo/quantlib-users > > > > > ------------------------------------------------------------------------------ > October Webinars: Code for Performance > Free Intel webinars can help you accelerate application performance. > Explore tips for MPI, OpenMP, advanced profiling, and more. Get the most > from > the latest Intel processors and coprocessors. See abstracts and register > > http://pubads.g.doubleclick.net/gampad/clk?id=60134071&iu=/4140/ostg.clktrk > _______________________________________________ > QuantLib-users mailing list > [hidden email] > https://lists.sourceforge.net/lists/listinfo/quantlib-users > -- <https://implementingquantlib.blogspot.com> <https://twitter.com/lballabio> ------------------------------------------------------------------------------ October Webinars: Code for Performance Free Intel webinars can help you accelerate application performance. Explore tips for MPI, OpenMP, advanced profiling, and more. Get the most from the latest Intel processors and coprocessors. See abstracts and register > http://pubads.g.doubleclick.net/gampad/clk?id=60134071&iu=/4140/ostg.clktrk _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
Re: qlLegDuration shows wrong number while qlLegBPS & NPV is correct
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Where can I find list of supported keywords for qlInstrumentResults for
Swaption (=qlInstrumentResults(C78,"vega",Triggers)/100 ) vega worked but other obvious candidates like delta, gamma, theta produce error like qlInstrumentResults delta not provided. I dig into instruments.xml but no go from there, binding looks beyond my understanding of QuantlibXL On 10/9/2013 9:02 AM, Luigi Ballabio wrote: > In C++ you can make a copy of the leg and add the notional payment > manually; I'm not sure you can do it from Excel without modifying the > swap class and recompiling. > > Duration of the floating leg is a cashflow duration as you guessed. > > Luigi > > > On Wed, Oct 9, 2013 at 2:54 PM, Irakli Machabeli > <[hidden email]> wrote: >> Ok. I see whats going on , the final payment of notional is not included in >> the leg. Is there a way to include notional payment in the both fixed and >> floating legs? >> What does Duration of leg 2(floating leg) calculates? it returns something >> like 3.56 is it just a cashflow duration i.e. cash flow is kept >> constant(instead of adjusting for the rate shock) when rate shock is applied >> ? >> >> >> On 10/9/2013 5:05 AM, Ferdinando M. Ametrano wrote: >> >> why 2.6 doesn't make sense to you? >> >> >> On Tue, Oct 8, 2013 at 8:49 PM, imachabeli <[hidden email]> wrote: >>> In the same spreadsheet for the same vanilla ATM 5Y usd swap I'm computing >>> duration and BPS,NPV >>> While bps shows 485(correct value for ATM 5Y) >>> >>> =qlLegBPS(FixedLeg,TermStructure,IncludeSettlementDateFlows,SettlementDate) >>> >>> NPV is close to 0 , also ok >>> >>> duration produced by formula is 2.6 does not make sense to me >>> >>> >>> =qlLegDuration(FixedLeg,FixedLegRate,FixedLegDayCounter,"Simple","Semiannual","Modified",IncludeSettlementDateFlows,SettlementDate,SettlementDate) >>> >>> >>> Does this formula really calculates duration? >>> >>> >>> >>> -- >>> View this message in context: >>> http://quantlib.10058.n7.nabble.com/qlLegDuration-shows-wrong-number-while-qlLegBPS-NPV-is-correct-tp14566.html >>> Sent from the quantlib-users mailing list archive at Nabble.com. >>> >>> >>> ------------------------------------------------------------------------------ >>> October Webinars: Code for Performance >>> Free Intel webinars can help you accelerate application performance. >>> Explore tips for MPI, OpenMP, advanced profiling, and more. Get the most >>> from >>> the latest Intel processors and coprocessors. See abstracts and register > >>> >>> http://pubads.g.doubleclick.net/gampad/clk?id=60134071&iu=/4140/ostg.clktrk >>> _______________________________________________ >>> QuantLib-users mailing list >>> [hidden email] >>> https://lists.sourceforge.net/lists/listinfo/quantlib-users >> >> >> >> ------------------------------------------------------------------------------ >> October Webinars: Code for Performance >> Free Intel webinars can help you accelerate application performance. >> Explore tips for MPI, OpenMP, advanced profiling, and more. Get the most >> from >> the latest Intel processors and coprocessors. See abstracts and register > >> http://pubads.g.doubleclick.net/gampad/clk?id=60134071&iu=/4140/ostg.clktrk >> _______________________________________________ >> QuantLib-users mailing list >> [hidden email] >> https://lists.sourceforge.net/lists/listinfo/quantlib-users >> > > ------------------------------------------------------------------------------ October Webinars: Code for Performance Free Intel webinars can help you accelerate application performance. Explore tips for MPI, OpenMP, advanced profiling, and more. Get the most from the latest Intel processors and coprocessors. See abstracts and register > http://pubads.g.doubleclick.net/gampad/clk?id=60134071&iu=/4140/ostg.clktrk _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
Re: qlLegDuration shows wrong number while qlLegBPS & NPV is correct
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In C++ you can get all available results from
Instrument::addtionalResults() with the keys of the returned map being the available keywords you are looking for. From the Addin there seem no way to get such a list of keys at the moment. You can also look up the results in the respective pricing engine directly. For the BlackSwaptionEngine we have e.g. spreadCorrection strike atmForward annuity swapLength stdDev vega kind regards Peter Irakli Machabeli <[hidden email]> writes: > Where can I find list of supported keywords for qlInstrumentResults for > Swaption (=qlInstrumentResults(C78,"vega",Triggers)/100 ) > vega worked but other obvious candidates like delta, gamma, theta > produce error like qlInstrumentResults delta not provided. > > I dig into instruments.xml but no go from there, binding looks beyond my > understanding of QuantlibXL > > On 10/9/2013 9:02 AM, Luigi Ballabio wrote: >> In C++ you can make a copy of the leg and add the notional payment >> manually; I'm not sure you can do it from Excel without modifying the >> swap class and recompiling. >> >> Duration of the floating leg is a cashflow duration as you guessed. >> >> Luigi >> >> >> On Wed, Oct 9, 2013 at 2:54 PM, Irakli Machabeli >> <[hidden email]> wrote: >>> Ok. I see whats going on , the final payment of notional is not included in >>> the leg. Is there a way to include notional payment in the both fixed and >>> floating legs? >>> What does Duration of leg 2(floating leg) calculates? it returns something >>> like 3.56 is it just a cashflow duration i.e. cash flow is kept >>> constant(instead of adjusting for the rate shock) when rate shock is applied >>> ? >>> >>> >>> On 10/9/2013 5:05 AM, Ferdinando M. Ametrano wrote: >>> >>> why 2.6 doesn't make sense to you? >>> >>> >>> On Tue, Oct 8, 2013 at 8:49 PM, imachabeli <[hidden email]> wrote: >>>> In the same spreadsheet for the same vanilla ATM 5Y usd swap I'm computing >>>> duration and BPS,NPV >>>> While bps shows 485(correct value for ATM 5Y) >>>> >>>> =qlLegBPS(FixedLeg,TermStructure,IncludeSettlementDateFlows,SettlementDate) >>>> >>>> NPV is close to 0 , also ok >>>> >>>> duration produced by formula is 2.6 does not make sense to me >>>> >>>> >>>> =qlLegDuration(FixedLeg,FixedLegRate,FixedLegDayCounter,"Simple","Semiannual","Modified",IncludeSettlementDateFlows,SettlementDate,SettlementDate) >>>> >>>> >>>> Does this formula really calculates duration? >>>> >>>> >>>> >>>> -- >>>> View this message in context: >>>> http://quantlib.10058.n7.nabble.com/qlLegDuration-shows-wrong-number-while-qlLegBPS-NPV-is-correct-tp14566.html >>>> Sent from the quantlib-users mailing list archive at Nabble.com. >>>> >>>> >>>> ------------------------------------------------------------------------------ >>>> October Webinars: Code for Performance >>>> Free Intel webinars can help you accelerate application performance. >>>> Explore tips for MPI, OpenMP, advanced profiling, and more. Get the most >>>> from >>>> the latest Intel processors and coprocessors. See abstracts and register > >>>> >>>> http://pubads.g.doubleclick.net/gampad/clk?id=60134071&iu=/4140/ostg.clktrk >>>> _______________________________________________ >>>> QuantLib-users mailing list >>>> [hidden email] >>>> https://lists.sourceforge.net/lists/listinfo/quantlib-users >>> >>> >>> >>> ------------------------------------------------------------------------------ >>> October Webinars: Code for Performance >>> Free Intel webinars can help you accelerate application performance. >>> Explore tips for MPI, OpenMP, advanced profiling, and more. Get the most >>> from >>> the latest Intel processors and coprocessors. See abstracts and register > >>> http://pubads.g.doubleclick.net/gampad/clk?id=60134071&iu=/4140/ostg.clktrk >>> _______________________________________________ >>> QuantLib-users mailing list >>> [hidden email] >>> https://lists.sourceforge.net/lists/listinfo/quantlib-users >>> >> >> > > > ------------------------------------------------------------------------------ > October Webinars: Code for Performance > Free Intel webinars can help you accelerate application performance. > Explore tips for MPI, OpenMP, advanced profiling, and more. Get the most from > the latest Intel processors and coprocessors. See abstracts and register > > http://pubads.g.doubleclick.net/gampad/clk?id=60134071&iu=/4140/ostg.clktrk > _______________________________________________ > QuantLib-users mailing list > [hidden email] > https://lists.sourceforge.net/lists/listinfo/quantlib-users ------------------------------------------------------------------------------ October Webinars: Code for Performance Free Intel webinars can help you accelerate application performance. Explore tips for MPI, OpenMP, advanced profiling, and more. Get the most from the latest Intel processors and coprocessors. See abstracts and register > http://pubads.g.doubleclick.net/gampad/clk?id=60134071&iu=/4140/ostg.clktrk _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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