Re: Discount Factor Calculation: disagreement between QuantLib and Bloomberg?
Posted by
Piter Dias-4 on
Jan 19, 2014; 9:18pm
URL: http://quantlib.414.s1.nabble.com/Discount-Factor-Calculation-disagreement-between-QuantLib-and-Bloomberg-tp14865p14866.html
Alessio,
QuantLib is there to help you implementing valuation models that fits your needs. In this sense, matching or not Bloomberg is not exactly a feature, but a matter of proper setup.
I tell this because here in Brazil, sometimes Bloomberg has to catch-up the market (what they eventually do, product by product) but custom libraries like QuantLib may do the job.
Why don't you send a code snippet so we can help? IMHO, what you want is some help to match Bloomberg DFs, right?
Regards,
_____________________
Piter Dias
From:
[hidden email]Date: Sun, 19 Jan 2014 18:21:00 +0100
To:
[hidden email]Subject: [Quantlib-users] Discount Factor Calculation: disagreement between QuantLib and Bloomberg?
Dear All,
I have noticed a disagreement between QuantLib and Bloomberg
that seems to be due to the way the ending date of a FRA is computed.
I'm using the following market data
Today: 30 Sept 2013
Fixing: 2 Days
Calendar: TARGET,
Rule: adj:modifiedfollowing
DayCount: Act/360
Depo1m Quote: 0.0034567
Fra1x7m Quote: 0.0036
My goal is to compute Discount Factors.
Depo1m starts 2 Oct 2013 and ends to 4 Nov. 2013 (because of weekend).
Fra1x7m should also start on 4 Nov. 2013, but I'm not sure which ending
date should be used:
a) 2 May 2014 that is 7 months after 2 Oct 2013;
b) or 5 May 2014 that is 6 months after 4 Nov. 201.
If I use rule (a), then DF(2 May 2014)=0.997897 which coincides with the value that I have downloaded from Blomberg relative to the above market data.
If instead I use (b) then DF(5 May 2014)=0.997867, which is
the value that I obtain using QUANTLIB.
Which is the correct one (a) or (b) ? Is it possible that Blomberg and Quantlib disagree on this point?
Thank you for the help.
Best,
Alessio Benavoli
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