Thanks Andres and Letian.I understand EUR curve should be easier to build because available instruments. I'll try to build this first.On Thu, Apr 24, 2014 at 10:52 AM, Andres Hernandez <[hidden email]> wrote:pic25636.gif)
Hi Hengli,
using a different discount and underlying curve is extremely easy in
QuantLib. The RateHelpers, e.g. SwapRateHelper, accept as parameter a
discount curve. The parameter defaults to an empty handle. Internally, if
the discount curve is not provided it is linked to the underlying curve,
but if it is provided, then the provided curve is used to produce discounts
independently from the underlying curve.
This will work fine with the EUR curves, as there are more than enough
liquid OIS instruments to bootstrap the Euro OIS curve first, and then use
it as discount curve when bootstrapping the different tenor Euribor curves.
The same is not so easy for USD, where one is likely forced to use
FedFund-USD 3M Libor basis swaps. In that case I saw two options: implement
a piecewise-term-structure bootstrapper akin to IterativeBootstrap, but
which bootstraps the two curves, USD-OIS and USD-3MLibor, concurrently; or
demand that your environment (I mean wherever you are embedding QuantLib)
provide also USD 3M Libor vanilla swap quotes. I decided myself for the
latter, as it was faster, plus USD 3M Libor vanilla swap quotes are readily
available and liquid for whatever maturity I needed. The vanilla swap I use
to replace the libor leg from the basis swap, with the fixed leg from the
vanilla swap*. I end up with an instrument which only depends on the
overnight index. I then bootstrap USD-OIS first, and then use it to
bootstrap the libor tenor curves.
*- While I ignore the difference in the averaging of the fed fund rate in
the FF-swaps and the FF basis swap, this is not a particular issue with the
second implementation, and would still exist even if implementing the
concurrent bootstrapping solution.
Mit freundlichen Grüßen / Kind regards
Dr. Andres Hernandez
Senior Financial Engineer
Business Analytics
Risk Analytics
Phone: <a href="tel:%2B49-69-6645-1351" value="+496966451351" target="_blank">+49-69-6645-1351 IBM Deutschland (Embedded
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From: Hengli Zhang <[hidden email]>
To: John Orford <[hidden email]>,
Cc: QuantLib users <[hidden email]>
Date: 04/24/2014 05:15 PM
Subject: Re: [Quantlib-users] Is there any example using Quantlib for
mutli-curve bootstrapping?
Thanks John. I guess in multi-curve, the discounting curve is different
than the underlying curve. (while in single-curve, they are the same). and,
it still uses all the instruments, e.g. depo, FRA, future, swap. I'll see
what i can do from the single curve example.
On Wed, Apr 23, 2014 at 9:53 PM, John Orford <[hidden email]> wrote:
Oh maybe take a look at the swap example then? I see the discount term
structure is created from FRA, future, deposit and swap info. Then again
I may have misunderstood what you're looking for - only skimmed that
paper quite a while ago.
On 24 April 2014 10:43, Hengli Zhang <[hidden email]> wrote:
Thanks John. This is very helpful. Although it's still single-curve
bootstrapping, I may be able to figure out how to do it for multi-curve.
On Wed, Apr 23, 2014 at 8:31 PM, John Orford <[hidden email]>
wrote:
Hengli,
The python bond examples included on Github might be of help.
John
On 23 April 2014 23:30, Hengli Zhang <[hidden email]> wrote:
Hi All,
Just wondering anyone know any sample codes to run a multiple
interest rate curve bootstrapping?
Ferdinando Ametrano and Marco Bianchetti mentioned in their paper
Bootstrapping the Illiquidity: Multiple Yield Curves Construction for
Market Coherent Forward Rates Estimation
that they have implemented the algorithms within QuantLib framework.
So just wondering if anyone know any example of how to run this in
QuantLib.
Thanks.
--
Sincerely yours
Hengli Zhang
MSFM, University Of Chicago
[hidden email]
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Sincerely yours
Hengli Zhang
MSFM, University Of Chicago
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