http://quantlib.414.s1.nabble.com/pricing-a-floating-rate-bond-tp14445p14501.html
so the 0.00105 rate you're passing gets interpreted as such. When you
in your case and r1 = 0.00105). You can try converting your 0.00105
However, this will work only as long as the rate is constant. If the
rates are the average of the forward rates). You'd be much better off
at the same dates. Otherwise you'll have to figure out the zero rates
> Steve,
> may you send the data files you're using so that we can actually
> run your code?
>
> Luigi
>
> On Fri, Aug 2, 2013 at 12:36 PM, Steve <
[hidden email]> wrote:
>> 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>
>>
>>
>
>
>
> --
> <
https://implementingquantlib.blogspot.com>
> <
https://twitter.com/lballabio>
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