qlXL Changing Euribor6M Actual/360
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Hi all,
I create a swap through qlSwap, and in the floating leg I set the daycounter "Actual/Actual (ISDA)", If I analyze the leg with qlSwapLegAnalysis I found in Index "Euribor6M Actual/360". There is a way to change also Actual/360 to Actual/Actual (ISDA)? I didn't found where to set the parameter (I also set the qlPiecewiseYieldCurve with Actual/Actual (ISDA) but nothing change) Tnx all |
R: qlXL Changing Euribor6M Actual/360
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So far as I know there doesn't exist an index "Euribor6M Actual/Actual". There are Actual/360 and Actual/365.
The day counter of an index isn't a "setting" that you can change. Indices are standardized instruments that are defined in a certain way and you can't change that. Euribor/360 and Euribor/365 are two distinct indices that are traded on the market, each with its definition and its price. You could define an index with different characteristics, but that would be a custom index which isn't quoted on any market. Gerardo Ballabio Risk Management Banca Profilo S.p.A. Via Cerva 28 - 20122 Milano Tel. +39 02 58408.463 www.bancaprofilo.it -----Messaggio originale----- Da: Pierluigi [mailto:[hidden email]] Inviato: mercoledì 5 marzo 2014 12.36 A: [hidden email] Oggetto: [Quantlib-users] qlXL Changing Euribor6M Actual/360 Hi all, I create a swap through qlSwap, and in the floating leg I set the daycounter "Actual/Actual (ISDA)", If I analyze the leg with qlSwapLegAnalysis I found in Index "Euribor6M Actual/360". There is a way to change also Actual/360 to Actual/Actual (ISDA)? I didn't found where to set the parameter (I also set the qlPiecewiseYieldCurve with Actual/Actual (ISDA) but nothing change) Tnx all -- View this message in context: http://quantlib.10058.n7.nabble.com/qlXL-Changing-Euribor6M-Actual-360-tp15044.html Sent from the quantlib-users mailing list archive at Nabble.com. ------------------------------------------------------------------------------ Subversion Kills Productivity. Get off Subversion & Make the Move to Perforce. With Perforce, you get hassle-free workflows. Merge that actually works. Faster operations. Version large binaries. Built-in WAN optimization and the freedom to use Git, Perforce or both. Make the move to Perforce. http://pubads.g.doubleclick.net/gampad/clk?id=122218951&iu=/4140/ostg.clktrk _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users <!DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Strict//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-strict.dtd"> <html xmlns="http://www.w3.org/1999/xhtml"> <head></head> <body> <div style="font-family:Calibri;font-size:10px"> Banca Profilo S.p.A. Via Cerva, 28 - 20122 Milano - Tel. 02 58408.1, Fax 02 5831 6057 Capitale Sociale Euro 136.794.106,00 i.v. Iscrizione al Registro Imprese di Milano, C.F. e P.IVA 09108700155 - [hidden email] Iscritta all’Albo delle Banche e dei Gruppi bancari Aderente al Fondo Interbancario di Tutela dei depositi Aderente al Conciliatore Bancario Finanziario e all’Arbitro Bancario Finanziario Appartenente al Gruppo bancario Banca Profilo e soggetta all’attività di direzione e coordinamento di Arepo BP S.p.A. DISCLAIMER: The information transmitted may contain confidential and/or privileged material. Any review, retransmission, dissemination or other use of, or taking of any action in reliance upon, this information by persons or entities other than the intended recipient is prohibited. If you received this in error, please contact the sender and delete the material from any computer. </div> </body> </html> ------------------------------------------------------------------------------ Subversion Kills Productivity. Get off Subversion & Make the Move to Perforce. With Perforce, you get hassle-free workflows. Merge that actually works. Faster operations. Version large binaries. Built-in WAN optimization and the freedom to use Git, Perforce or both. Make the move to Perforce. http://pubads.g.doubleclick.net/gampad/clk?id=122218951&iu=/4140/ostg.clktrk _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
Re: R: qlXL Changing Euribor6M Actual/360
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Hello,
I'm not sure of what the Excel layer does, but there's two day counters involved here. One is the intrinsic day counter of the Euribor, which (as Gerardo said) is fixed. The other is the day counter of the coupons. The way you're specifying your swap, you're asking for a) forecasting the Euribor rates (which is done with act/360) and b) accruing the rate you obtained with act/act. If that's what you want, you should be all set. Otherwise, you'll have to use a custom IborIndex instance instead of Euribor. Hope this helps, Luigi On Wed, Mar 5, 2014 at 2:50 PM, Ballabio Gerardo <[hidden email]> wrote: > So far as I know there doesn't exist an index "Euribor6M Actual/Actual". There are Actual/360 and Actual/365. > The day counter of an index isn't a "setting" that you can change. Indices are standardized instruments that are defined in a certain way and you can't change that. Euribor/360 and Euribor/365 are two distinct indices that are traded on the market, each with its definition and its price. You could define an index with different characteristics, but that would be a custom index which isn't quoted on any market. > > Gerardo Ballabio > Risk Management > > Banca Profilo S.p.A. > Via Cerva 28 - 20122 Milano > Tel. +39 02 58408.463 > www.bancaprofilo.it > > > > > -----Messaggio originale----- > Da: Pierluigi [mailto:[hidden email]] > Inviato: mercoledì 5 marzo 2014 12.36 > A: [hidden email] > Oggetto: [Quantlib-users] qlXL Changing Euribor6M Actual/360 > > Hi all, > I create a swap through qlSwap, and in the floating leg I set the daycounter "Actual/Actual (ISDA)", If I analyze the leg with qlSwapLegAnalysis I found in Index "Euribor6M Actual/360". > There is a way to change also Actual/360 to Actual/Actual (ISDA)? > I didn't found where to set the parameter (I also set the qlPiecewiseYieldCurve with Actual/Actual (ISDA) but nothing change) Tnx all > > > > -- > View this message in context: http://quantlib.10058.n7.nabble.com/qlXL-Changing-Euribor6M-Actual-360-tp15044.html > Sent from the quantlib-users mailing list archive at Nabble.com. > > ------------------------------------------------------------------------------ > Subversion Kills Productivity. Get off Subversion & Make the Move to Perforce. > With Perforce, you get hassle-free workflows. Merge that actually works. > Faster operations. Version large binaries. Built-in WAN optimization and the > freedom to use Git, Perforce or both. Make the move to Perforce. > http://pubads.g.doubleclick.net/gampad/clk?id=122218951&iu=/4140/ostg.clktrk > _______________________________________________ > QuantLib-users mailing list > [hidden email] > https://lists.sourceforge.net/lists/listinfo/quantlib-users > > <!DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Strict//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-strict.dtd"> > <html xmlns="http://www.w3.org/1999/xhtml"> > <head></head> > <body> > <div style="font-family:Calibri;font-size:10px"> > Banca Profilo S.p.A. > Via Cerva, 28 - 20122 Milano - Tel. 02 58408.1, Fax 02 5831 6057 > Capitale Sociale Euro 136.794.106,00 i.v. > Iscrizione al Registro Imprese di Milano, C.F. e P.IVA 09108700155 - [hidden email] > Iscritta all'Albo delle Banche e dei Gruppi bancari > Aderente al Fondo Interbancario di Tutela dei depositi > Aderente al Conciliatore Bancario Finanziario e all'Arbitro Bancario Finanziario > Appartenente al Gruppo bancario Banca Profilo e soggetta all'attività di direzione e coordinamento di Arepo BP S.p.A. > > > DISCLAIMER: > The information transmitted may contain confidential and/or privileged material. > Any review, retransmission, dissemination or other use of, or taking of any action in reliance upon, > this information by persons or entities other than the intended recipient is prohibited. > If you received this in error, please contact the sender and delete the material from any computer. > </div> > </body> > </html> > > > ------------------------------------------------------------------------------ > Subversion Kills Productivity. Get off Subversion & Make the Move to Perforce. > With Perforce, you get hassle-free workflows. Merge that actually works. > Faster operations. Version large binaries. Built-in WAN optimization and the > freedom to use Git, Perforce or both. Make the move to Perforce. > http://pubads.g.doubleclick.net/gampad/clk?id=122218951&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> ------------------------------------------------------------------------------ Subversion Kills Productivity. Get off Subversion & Make the Move to Perforce. With Perforce, you get hassle-free workflows. Merge that actually works. Faster operations. Version large binaries. Built-in WAN optimization and the freedom to use Git, Perforce or both. Make the move to Perforce. http://pubads.g.doubleclick.net/gampad/clk?id=122218951&iu=/4140/ostg.clktrk _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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ok tnx, I'm trying to replicate a collar swap priced in bloomberg into quantlibxl but I have some little problem. I thought it was a problem of convention but it isn't (the daycounter of the coupon is ok).
I will try other ways. My real problem is how to build the vola surface to use in the qlBlackCapFloorEngine. I have created a vola surface with qlCapFloorTermVolCurve and if I do a 'simple' price with qlBlackScholesCalculator2 I can price a simple caplet, but if I set the qlBlackCapFloorEngine with this surface I have the error qlBlackCapFloorEngine - Unable to coerce value from type 'class boost::shared_ptr<class ObjectHandler::Object>' to type 'class QuantLib::Handle<class QuantLib::OptionletVolatilityStructure>' - all conversions failed In the examples files there is only how to manage a vola surface or how to price with a flat surface. |
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