swap curves

[mudcrab]

Hi there,

I have a question about the construction of swap curves in QuantLib.

Specifically, I am wondering about the case of the USD swaps curve (where
the  floating frequency is quarterly):  Can one exclude the 3 Month LIBOR
cash rate from the curve, but include it as the current reset rate for the
swaps embedded in the SwapRateHelper somehow? How would one do this?

Also, does the choice of a term structure day counter matter at all?
The swapvaluation example has these lines:

        // Any DayCounter would be fine.
        // ActualActual::ISDA ensures that 30 years is 30.0
        DayCounter termStructureDayCounter =
            ActualActual(ActualActual::ISDA);

are there any instances where it would matter which daycounter was used?

Thanks!




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[Ferdinando Ametrano-4]

On Thu, Aug 27, 2009 at 6:37 PM, <[hidden email]> wrote:
> Can one exclude the 3 Month LIBOR
> cash rate from the curve, but include it as the current reset rate for the
> swaps embedded in the SwapRateHelper somehow?

yes, you can

> How would one do this?
some SwapRateHelper constructors take the iborIndex as input, others
take the swapIndex which would have to be created with the appropriate
iborIndex

> Also, does the choice of a term structure day counter matter at all?
> [...]
> are there any instances where it would matter which daycounter was used?

it does not matter as long as it is a strictly monotonically
increasing daycounter.
You must pay attention to use the same daycounter for all
yield/vol/etc termstructure, just in case they have to interact.
Besides using something like act/365 allow to to easily invert the
date->time mapping, and this can be handy in some circumstances

ciao -- Nando

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[Luigi Ballabio]

On Mon, 2009-08-31 at 11:21 +0200, Ferdinando Ametrano wrote:

> On Thu, Aug 27, 2009 at 6:37 PM, <[hidden email]> wrote:
> > Can one exclude the 3 Month LIBOR
> > cash rate from the curve, but include it as the current reset rate for the
> > swaps embedded in the SwapRateHelper somehow?
>
> yes, you can
>
> > How would one do this?
> some SwapRateHelper constructors take the iborIndex as input, others
> take the swapIndex which would have to be created with the appropriate
> iborIndex

The missing piece (which might not be obvious) is that before passing it
to the SwapRateHelper you'll have to call iborIndex->addFixing() on the
3-month LIBOR index to add the quoted rate as today's fixing.

Luigi


--

Skinner's Constant (or Flannagan's Finagling Factor):
That quantity which, when multiplied by, divided by, added to,
or subtracted from the answer you got, gives you the answer you
should have gotten.



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