http://quantlib.414.s1.nabble.com/pricing-a-floating-rate-bond-tp14445p14490.html
> Luigi,
>
> I tried to use IborIndex to price the floating note. The result is about
> 0.0036% off from the correct answer. There are many factors that contribute
> to this discrepancy. But I think the main reason is that the forecastfixing
> is about 0.013% off from the index rate. Below are the code printing out
> forecastfixing and some of the index rate:
> for(int i=0;i<AccuralStart.size();i++){
> if(FRN13Wks->isValidFixingDate(AccuralStart[i]) && AccuralStart[i] <
> settlementDate){
> FRN13Wks->addFixing(AccuralStart[i], IndexRate[i]);
> junk << AccuralStart[i] << " +++ " << FRN13Wks->fixing(AccuralStart[i]) << "
> +++ " << IndexRate[i] << endl;
> }
> if(FRN13Wks->isValidFixingDate(AccuralStart[i]) && AccuralStart[i] >=
> settlementDate){
> junk << AccuralStart[i] << " ``` " <<
> FRN13Wks->forecastFixing(AccuralStart[i]) << " ``` " << IndexRate[i] <<
> endl;
> }
> }
>
> September 11th, 2012 +++ 0.001 +++ 0.001
> September 12th, 2012 +++ 0.001 +++ 0.001
> September 13th, 2012 +++ 0.001 +++ 0.001
> September 14th, 2012 +++ 0.001 +++ 0.001
> September 17th, 2012 +++ 0.001 +++ 0.001
> September 18th, 2012 +++ 0.001 +++ 0.001
> September 19th, 2012 ``` 0.00105014 ``` 0.001
> September 20th, 2012 ``` 0.00105014 ``` 0.00105
> September 21st, 2012 ``` 0.00105014 ``` 0.00105
> September 24th, 2012 ``` 0.00105014 ``` 0.00105
> September 25th, 2012 ``` 0.00105014 ``` 0.00105
> September 26th, 2012 ``` 0.00105014 ``` 0.00105
> September 27th, 2012 ``` 0.00105014 ``` 0.00105
> September 28th, 2012 ``` 0.00105014 ``` 0.00105
>
> Basically, the forcastfixing is CONSTANTLY 0.00000014 about the index rate
> after the settlement date, Sept 19th, 2012, all the way to the maturity
> date. Can you or anyone to help me to understand where 0.00000014 comes
> from?
>
> Thanks
>
>
> On Fri, Jul 19, 2013 at 5:49 PM, Luigi Ballabio <
[hidden email]>
> wrote:
>>
>> On Sat, Jul 13, 2013 at 1:25 AM, Steve <
[hidden email]> wrote:
>> > I am trying to price a floating rate bond that depends on the rate of a
>> > Treasury instrument. For simplicity, the rate and the date are imported
>> > from
>> > the file. But I used IborIndex class for the rate of the instrument.
>> > Unsurprisingly, the result is way off. So I have a few questions on this
>> > topic:
>> >
>> > 1 is there an equivalent index class for the Treasury instrument, like
>> > IborIndex for LIBOR, in QuantLib?
>>
>> Not as such. You might use IborIndex as a proxy, provided that the
>> conventions match; for instance, the LIBOR rate is simply compounded,
>> with an Actual/360 day-count convention in the case of USD LIBOR. As
>> far as I know, T-bills are quoted as a discount; how is the rate of
>> your Treasury instrument derived from that? And instead of looking at
>> the price of the bond (that is, at the sum of the coupons, which
>> muddies things), have you tried first looking at forecast IborIndex
>> fixings to see if they match the rates you expect?
>>
>> > 2 if the answer is no, is it possible to build a class like
>> > TreasuryIndex by
>> > extending InterestRateIndex? What would be the challenge in building
>> > TreasuryIndex?
>>
>> You would have to implement the forecastFixing method so that it
>> returns the T-Bill rate. Basically, you'd have to be able to forecast
>> the rate off your treasury curve. (You'd also have to implement the
>> maturityDate method, but that's easy).
>>
>> > 3 Is it possible to use IborIndex for a Treasury instrument by tweaking
>> > the
>> > calendar alone? What else needs to be done to make it work?
>>
>> See above. It depends on how much the conventions differ.
>>
>> > 4 Can someone point me to the right direction on how to leverage
>> > QuantLib classes to price a floating rate bond that uses a Treasury
>> > instrument as the index after a peek at the code?
>>
>> If using IborIndex fails, inheriting from InterestRateIndex shouldn't
>> be that difficult. Once you have a rate class, you should be able to
>> use the existing classes as you did in your code.
>>
>> Let me know how it works.
>>
>> Later,
>> Luigi
>>
>>
>> --
>> <
https://implementingquantlib.blogspot.com>
>> <
https://twitter.com/lballabio>
>
>
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