Guys,
Here in Brazil we have something called “CDI cash flow” that is basically a floating rate cash flow with daily resets (CDI is an overnight rate) with no homogenous payment (could periodically, at maturity, tailor made, etc…) where we could apply either “% CDI” to the 1 day forward rates or multiplicative spread.
It is something like:
· Given a CDI Annual Bus/252 rate, a S Annual Bus/252 spread and P a % of CDI
· Calculate TDI = (1+CDI)^(1/252)-1
· Calculate s = (1+S)^(1/252)-1
· Calculate f = (1+TDI*P)*(1+s)
So, “f” is an one day rate. In order to forecast the cash flow we multiply all implied “f” from a floating curve and to the same for the historical (all 1 day reset rates). This is the general formula, but usually S = 0 if P <> 100%.
I would like to know:
Is QuantLib gearing able to behave the same way as “P” above?
Does QuantLib support multiplicative spread (like S, above) or just additive spread? I could not find a multiplicative spread inspecting some files.
Thanks a lot,
PS. 1: You can find mode details (if interested) at http://www.debentures.com.br/downloads/textostecnicos/orient_calculo.doc, pages 4 to 6. Google is able to do a pretty good job translating it.
PS. 2: I already checked that QuantLib YieldTermStructure is able to generate one day forward rates with same conventions and interpolation we use here in Brazil. This is already much better than a lot of foreign systems that I already worked with.
_______________________
Piter Dias
| Free forum by Nabble | Disable Popup Ads | Edit this page |