Re: [Quantlib-users] Stripping a YieldCurve with day tenor formats...
Posted by
Guowen Han on
URL: http://quantlib.414.s1.nabble.com/Stripping-a-YieldCurve-with-day-tenor-formats-tp11261p11262.html
Hi Toyin,
The default BusinessDayConvention is
set to Following for the advance() function. If you want calendar days,
you should use Unadjusted.
For example:
your_target_date
= calendar.advance(your_original_date, period(9, Days), Unadjusted))
Hope it will solve your problem.
Guowen
Hi all,
I'm trying to strip a yieldcurve with day tenor formats (ie - 9D for 9
days).
I expected this to be 9 calendar days forward with an adjustment on the
9th
date.
However quantlib performs 9 market days forward.
The reason I find using the day tenor format useful is in the case where
we
have both deposits and futures within the curve and we do not want deposits
to overlap futures (ie - no deposit end date must exceed the first futures
contract as we regard the futures contract more liquid.).
Thus I remove all the deposit instruments that exceed the first futures
date, however one may find an undefined gap in the curve between the last
deposit instrument remaining and the first futures contract. I thus add
a
deposit contract starting from spot up to the first futures contract and
the
rate is taken as an interpolation of the original deposit rates.
In my case, I currently have a deposit tenor of 153D, but quantlib will
interpret this as market days and not calendar days. In fact it looks like
the logic within the advance() method of the calendar class always
interprets the day tenor as market days.
Is it possible to have a calendar days movement option with a final
adjustment like the Week, Month, Year tenor cases?
Thanks in advance,
Toyin Akin.
-------------------------------------------------------------------------
Take Surveys. Earn Cash. Influence the Future of IT
Join SourceForge.net's Techsay panel and you'll get the chance to share
your
opinions on IT & business topics through brief surveys -- and earn
cash
http://www.techsay.com/default.php?page=join.php&p=sourceforge&CID=DEVDEV
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users
________________________________________________________
DTCC DISCLAIMER: This email and any files transmitted
with it are confidential and intended solely for the use of the
individual or entity to whom they are addressed. If you have
received this email in error, please notify us immediately and
delete the email and any attachments from your system. The
recipient should check this email and any attachments for the
presence of viruses. The company accepts no liability for any
damage caused by any virus transmitted by this email.