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single currency basis swap pricing

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Grison PG Pierre (External DEXIA-US)

single currency basis swap pricing

Hello everyone,

Does anyone know how it is possible to price basis swap with QL (floating vs floating : ibor/ibor, ON index/ON index and ibor vs ON index)? Is the floatfloatswap class the most appropriate tool to calculate fair spread ?

Thank you,

Pierre

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Jean-Mathieu Vermosen-2

Re: single currency basis swap pricing

Hi Pierre,

I’m not sure the floatfloatswap class is fully functional right now.

Alternatively, you can build each leg using its predefined constructor (iborLeg in ql/cashflows/iborCoupon.hpp, OvernightLeg in ql/cashflows/overnightindexedcoupon.hpp, etc) and pass the legs to the generic quantlib::swap constructor.

However, getting the fair spread value requires to set some 1D optimization loop, and I doubt this functionality has been implemented yet except for the fixed/float vanillaSwap class.

Best,

Jean-Mathieu Vermosen

On Sep 8, 2014, at 9:51 AM, Grison PG Pierre (External DEXIA-US) <[hidden email]> wrote:

Hello everyone,

Does anyone know how it is possible to price basis swap with QL (floating vs floating : ibor/ibor, ON index/ON index and ibor vs ON index)? Is the floatfloatswap class the most appropriate tool to calculate fair spread ?

Thank you,

Pierre

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Grison PG Pierre (External DEXIA-US)

Re: single currency basis swap pricing

Hi Jean-Mathieu,

Thank you very much for your quick answer. So, I’m going to implement a basis swap class that performs those calculations and does the job!

Best,

Pierre

From: Jean-Mathieu Vermosen [mailto:[hidden email]]
Sent: Monday, September 08, 2014 12:17 PM
To: Grison PG Pierre (External DEXIA-US)
Cc: [hidden email]
Subject: Re: [Quantlib-users] single currency basis swap pricing

Hi Pierre,

I’m not sure the floatfloatswap class is fully functional right now.

However, getting the fair spread value requires to set some 1D optimization loop, and I doubt this functionality has been implemented yet except for the fixed/float vanillaSwap class.

Best,

Jean-Mathieu Vermosen

On Sep 8, 2014, at 9:51 AM, Grison PG Pierre (External DEXIA-US) <[hidden email]> wrote:

Hello everyone,

Thank you,

Pierre

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Peter Caspers-4

Re: single currency basis swap pricing

Hi,
the FloatFloatSwap should be functional and would hopefully behave
like the general swap set up with two floating legs. However it does
not allow for on overnight index on its legs. Which could be added
easily though. Same with the implied spread. Maybe it would be nicer
to extend the existing class rather than set up a new one ?
Best regards
Peter

On 8 September 2014 18:34, Grison PG Pierre (External DEXIA-US)
<[hidden email]> wrote:

> Hi Jean-Mathieu,
>
>
>
> Thank you very much for your quick answer. So, I’m going to implement a
> basis swap class that performs those calculations and does the job!
>
>
>
> Best,
>
>
>
> Pierre
>
>
>
>
>
>
>
> From: Jean-Mathieu Vermosen [mailto:[hidden email]]
> Sent: Monday, September 08, 2014 12:17 PM
> To: Grison PG Pierre (External DEXIA-US)
> Cc: [hidden email]
> Subject: Re: [Quantlib-users] single currency basis swap pricing
>
>
>
> Hi Pierre,
>
>
>
> I’m not sure the floatfloatswap class is fully functional right now.
>
>
>
> Alternatively, you can build each leg using its predefined constructor
> (iborLeg in ql/cashflows/iborCoupon.hpp, OvernightLeg in
> ql/cashflows/overnightindexedcoupon.hpp, etc) and pass the legs to the
> generic quantlib::swap constructor.
>
>
>
> However, getting the fair spread value requires to set some 1D optimization
> loop, and I doubt this functionality has been implemented yet except for the
> fixed/float vanillaSwap class.
>
>
>
> Best,
>
>
>
> Jean-Mathieu Vermosen
>
>
>
> On Sep 8, 2014, at 9:51 AM, Grison PG Pierre (External DEXIA-US)
> <[hidden email]> wrote:
>
>
>
> Hello everyone,
>
>
>
> Does anyone know how it is possible to price basis swap with QL (floating vs
> floating : ibor/ibor, ON index/ON index and ibor vs ON index)? Is the
> floatfloatswap class the most appropriate tool to calculate fair spread ?
>
>
>
> Thank you,
>
>
>
> Pierre
>
>
>
> ------------------------------------------------------------------------------
> Want excitement?
> Manually upgrade your production database.
> When you want reliability, choose Perforce
> Perforce version control. Predictably reliable.
> http://pubads.g.doubleclick.net/gampad/clk?id=157508191&iu=/4140/ostg.clktrk_______________________________________________
> QuantLib-users mailing list
> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>
>
>
> _____________________________________________________________________________
> Scanned by IBM Email Security Management Services powered by MessageLabs.
> For more information please visit
> http://www-935.ibm.com/services/us/index.wss/offerfamily/iss/a1026954
> _____________________________________________________________________________
>
>
> ------------------------------------------------------------------------------
> Want excitement?
> Manually upgrade your production database.
> When you want reliability, choose Perforce
> Perforce version control. Predictably reliable.
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> _______________________________________________
> QuantLib-users mailing list
> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>

cheng li

答复: single currency basis swap pricing

In reply to this post by Jean-Mathieu Vermosen-2

Hi Pierre,

If the basis swap you are interested in is vanilla ( here I mean there is no non-linear transformation on the rates, e.g. cap, floor..), you can use the trick that swap NPV is linearly depends on leg BPS which is already used in VanillaSwap class.

As BPSs are already calculated in Swap class, you can simply calculate the fair spread using arithmetic like what VanillaSwap do.

Regards,

Cheng

发件人: Jean-Mathieu Vermosen [mailto:[hidden email]]
发送时间: 2014年9月9日 0:17
收件人: Grison PG Pierre (External DEXIA-US)
抄送: [hidden email]
主题: Re: [Quantlib-users] single currency basis swap pricing

Hi Pierre,

I’m not sure the floatfloatswap class is fully functional right now.

However, getting the fair spread value requires to set some 1D optimization loop, and I doubt this functionality has been implemented yet except for the fixed/float vanillaSwap class.

Best,

Jean-Mathieu Vermosen

On Sep 8, 2014, at 9:51 AM, Grison PG Pierre (External DEXIA-US) <[hidden email]> wrote:

Hello everyone,

Does anyone know how it is possible to price basis swap with QL (floating vs floating : ibor/ibor, ON index/ON index and ibor vs ON index)? Is the floatfloatswap class the most appropriate tool to calculate fair spread ?

Thank you,

Pierre

------------------------------------------------------------------------------
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When you want reliability, choose Perforce
Perforce version control. Predictably reliable.
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Grison PG Pierre (External DEXIA-US)

Re: single currency basis swap pricing

In reply to this post by Jean-Mathieu Vermosen-2

Hello Jean-Mathieu,

Are you sure a 1D optimization loop is necessary? I think one can still use the classic formula :

fairSpread1_ = spread1_ - NPV_/(legBPS_[0]/basisPoint);

Best,

Pierre

Hi Pierre,

I’m not sure the floatfloatswap class is fully functional right now.

However, getting the fair spread value requires to set some 1D optimization loop, and I doubt this functionality has been implemented yet except for the fixed/float vanillaSwap class.

Best,

Jean-Mathieu Vermosen

On Sep 8, 2014, at 9:51 AM, Grison PG Pierre (External DEXIA-US) <[hidden email]> wrote:

Hello everyone,

Thank you,

Pierre

------------------------------------------------------------------------------
Want excitement?
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When you want reliability, choose Perforce
Perforce version control. Predictably reliable.
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Grison PG Pierre (External DEXIA-US)

Re: single currency basis swap pricing

In reply to this post by Peter Caspers-4

Hello Peter,

That's done. I have extended the class. I'm now going to add a OvernightBasisSwapRateHelper class so as to build my rates based on several basis swap quotes.

Best,

Pierre

-----Original Message-----
From: Peter Caspers [mailto:[hidden email]]
Sent: Monday, September 08, 2014 2:01 PM
To: Grison PG Pierre (External DEXIA-US)
Cc: Jean-Mathieu Vermosen; [hidden email]
Subject: Re: [Quantlib-users] single currency basis swap pricing

Hi,
the FloatFloatSwap should be functional and would hopefully behave like the general swap set up with two floating legs. However it does not allow for on overnight index on its legs. Which could be added easily though. Same with the implied spread. Maybe it would be nicer to extend the existing class rather than set up a new one ?
Best regards
Peter

On 8 September 2014 18:34, Grison PG Pierre (External DEXIA-US) <[hidden email]> wrote:

> Hi Jean-Mathieu,
>
>
>
> Thank you very much for your quick answer. So, I’m going to implement
> a basis swap class that performs those calculations and does the job!
>
>
>
> Best,
>
>
>
> Pierre
>
>
>
>
>
>
>
> From: Jean-Mathieu Vermosen [mailto:[hidden email]]
> Sent: Monday, September 08, 2014 12:17 PM
> To: Grison PG Pierre (External DEXIA-US)
> Cc: [hidden email]
> Subject: Re: [Quantlib-users] single currency basis swap pricing
>
>
>
> Hi Pierre,
>
>
>
> I’m not sure the floatfloatswap class is fully functional right now.
>
>
>
> Alternatively, you can build each leg using its predefined constructor
> (iborLeg in ql/cashflows/iborCoupon.hpp, OvernightLeg in
> ql/cashflows/overnightindexedcoupon.hpp, etc) and pass the legs to the
> generic quantlib::swap constructor.
>
>
>
> However, getting the fair spread value requires to set some 1D
> optimization loop, and I doubt this functionality has been implemented
> yet except for the fixed/float vanillaSwap class.
>
>
>
> Best,
>
>
>
> Jean-Mathieu Vermosen
>
>
>
> On Sep 8, 2014, at 9:51 AM, Grison PG Pierre (External DEXIA-US)
> <[hidden email]> wrote:
>
>
>
> Hello everyone,
>
>
>
> Does anyone know how it is possible to price basis swap with QL
> (floating vs floating : ibor/ibor, ON index/ON index and ibor vs ON
> index)? Is the floatfloatswap class the most appropriate tool to calculate fair spread ?
>
>
>
> Thank you,
>
>
>
> Pierre
>
>
>
> ----------------------------------------------------------------------
> --------
> Want excitement?
> Manually upgrade your production database.
> When you want reliability, choose Perforce Perforce version control.
> Predictably reliable.
> http://pubads.g.doubleclick.net/gampad/clk?id=157508191&iu=/4140/ostg.
> clktrk_______________________________________________
> QuantLib-users mailing list
> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>
>
>
> ______________________________________________________________________
> _______ Scanned by IBM Email Security Management Services powered by
> MessageLabs.
> For more information please visit
> http://www-935.ibm.com/services/us/index.wss/offerfamily/iss/a1026954
> ______________________________________________________________________
> _______
>
>
> ----------------------------------------------------------------------
> --------
> Want excitement?
> Manually upgrade your production database.
> When you want reliability, choose Perforce Perforce version control.
> Predictably reliable.
> http://pubads.g.doubleclick.net/gampad/clk?id=157508191&iu=/4140/ostg.
> clktrk _______________________________________________
> QuantLib-users mailing list
> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>

_____________________________________________________________________________
Scanned by IBM Email Security Management Services powered by MessageLabs. For more information please visit http://www-935.ibm.com/services/us/index.wss/offerfamily/iss/a1026954
_____________________________________________________________________________
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Grison PG Pierre (External DEXIA-US)

Re: single currency basis swap pricing

In reply to this post by cheng li

Hi Cheng,

You’re right and that’s what I have done.

Thanks for your help,

Pierre

From: cheng li [mailto:[hidden email]]
Sent: Thursday, September 11, 2014 4:38 AM
To: 'Jean-Mathieu Vermosen'; Grison PG Pierre (External DEXIA-US)
Cc: [hidden email]
Subject: 答复: [Quantlib-users] single currency basis swap pricing

Hi Pierre,

As BPSs are already calculated in Swap class, you can simply calculate the fair spread using arithmetic like what VanillaSwap do.

Regards,

Cheng

发件人: Jean-Mathieu Vermosen [[hidden email]]
发送时间: 2014年9月9日 0:17
收件人: Grison PG Pierre (External DEXIA-US)
抄送: [hidden email]
主题: Re: [Quantlib-users] single currency basis swap pricing

Hi Pierre,

I’m not sure the floatfloatswap class is fully functional right now.

However, getting the fair spread value requires to set some 1D optimization loop, and I doubt this functionality has been implemented yet except for the fixed/float vanillaSwap class.

Best,

Jean-Mathieu Vermosen

On Sep 8, 2014, at 9:51 AM, Grison PG Pierre (External DEXIA-US) <[hidden email]> wrote:

Hello everyone,

Does anyone know how it is possible to price basis swap with QL (floating vs floating : ibor/ibor, ON index/ON index and ibor vs ON index)? Is the floatfloatswap class the most appropriate tool to calculate fair spread ?

Thank you,

Pierre

------------------------------------------------------------------------------
Want excitement?
Manually upgrade your production database.
When you want reliability, choose Perforce
Perforce version control. Predictably reliable.
http://pubads.g.doubleclick.net/gampad/clk?id=157508191&iu=/4140/ostg.clktrk_______________________________________________
QuantLib-users mailing list
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