Posted by
DHar on
Sep 09, 2010; 5:13pm
URL: http://quantlib.414.s1.nabble.com/Futures-Implied-Yield-tp14p15.html
I too am having similar troubles.......
Using PeicewiseYieldCurve, I'm trying to construct a 3 month USD discount
curve from the first 8 eurusd contracts. This curve is being built from the
8 Futures Objects I have built using the FuturesRateHelper2.
The problem is if I adjust the Convexity within the FuturesRateHelper2 from
0.00 (as per the sample spreadsheet "YieldCurveBootstrapping"), the
PiecewiseYieldCurveDates and PiecewiseYieldCurveData from the
PiecewiseYieldCurve changes to NUM!....... Im inserting the convexity as the
Implied Volatility for each contract.
Also a point to note, is that the PiecewiseYieldCurveDates returns the wrong
Future settlement dates.... The first two Sep10 and Dec10 are correct as the
3rd Wednesday,however March and June show Tuesday and Thursday respectively.
QuantLib XL returns the correct dates when I use QLIMMDate on the same IMM
code, so why does the PiecewiseYieldCurveDates return the wrong array of
dates from the constructed YieldCurve thats built from the FutureRatesHelper
Objects?
Cheers
David
digiplant wrote:
>
> Hello. I am attempting to compute the implied yield of a treasury futures
> contract, but I really have no idea where to start. For example, i'm
> unclear if I should be using FuturesRateHelper or ForwardRate and applying
> my own convexity correction somehow. Can anyone offer suggestions? The
> ideal case would be an example starting with only the contract price,
> tenor,
> and expiration.
>
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