Re: Discount Factor Calculation: disagreement between QuantLib and Bloomberg?

Posted by Alessio Benavoli on Jan 20, 2014; 8:03am
URL: http://quantlib.414.s1.nabble.com/Discount-Factor-Calculation-disagreement-between-QuantLib-and-Bloomberg-tp14865p14869.html

Dear Piter,

Thank you for the reply. 

My question is more about how to calculate the end date of the FRA1x7m, should I use method (a) or (b) in this case?

I have attached the code.

Output:
Today: Monday, September 30th, 2013
Settlement date: Wednesday, October 2nd, 2013
May 2nd, 2014 DF=0.997906
May 5th, 2014 DF=0.997867

From Bloomberg I get DF=0.997897 associated to Fra1x7m.

Alessio

On Sun, Jan 19, 2014 at 10:18 PM, Piter Dias <[hidden email]> wrote:

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

[hidden email]

www.piterdias.com

---

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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