Period,Input Rate,Curve Rate
1W,0.0012075,0.0012075
1M,0.001515,0.001515
2M,0.001935,0.001935
3M,0.0022535,0.0022535
6M,0.00323,0.00323
1Y,0.00549,0.00549
Code:
#include <ql/quantlib.hpp>
using namespace std ;
using namespace QuantLib ;
int main(int argc, char** argv)
{
vector<Rate> liborRates ;
liborRates.push_back(0.12075 / 100.0) ; //1W
liborRates.push_back(0.1515 / 100.0) ; //1M
liborRates.push_back(0.1935 / 100.0) ; //2M
liborRates.push_back(0.22535 / 100.0) ; //3M
liborRates.push_back(0.323 / 100.0) ; //6M
liborRates.push_back(0.549 / 100.0) ; //12M
vector<Period> periods ;
periods.push_back(Period(1,Weeks)) ;
periods.push_back(Period(1,Months)) ;
periods.push_back(Period(2,Months)) ;
periods.push_back(Period(3,Months)) ;
periods.push_back(Period(6,Months)) ;
periods.push_back(Period(12,Months)) ;
vector<boost::shared_ptr<RateHelper> > instruments ;
for (vector<int>::size_type i = 0 ; i < liborRates.size() ; i++)
{
boost::shared_ptr<Quote> liborQuote(new SimpleQuote(liborRates[i])) ;
Handle<Quote> liborHandle(liborQuote) ;
boost::shared_ptr<IborIndex> liborIndex(new USDLibor(periods[i])) ;
boost::shared_ptr<RateHelper> rateHelper(new DepositRateHelper(liborHandle,liborIndex)) ;
instruments.push_back(rateHelper) ;
}
Calendar calendar = UnitedStates();
Date today (29 , Apr ,2014);
Settings::instance().evaluationDate() = today ;
Natural settlementDays = 2;
Date settlement = calendar.advance ( today , settlementDays , Days );
DayCounter dc = Actual360 ();
boost::shared_ptr <YieldTermStructure> yieldCurve ;
yieldCurve = boost::shared_ptr <YieldTermStructure>(new
PiecewiseYieldCurve < ZeroYield , Linear >( settlement , instruments , dc ));
cout << "Period,Input Rate,Curve Rate" << endl ;
for(vector<int>::size_type i = 0 ; i < periods.size() ; i++)
{
Rate curveRate = Rate(yieldCurve->zeroRate(calendar.adjust(settlement + periods[i]), dc, Simple)) ;
cout << periods[i] << "," << liborRates[i] << "," << curveRate << endl ;
}
return 0 ;
}
Hi,
it was a combination of things:
1) once you've chosen today's date, you should also add
Settings::instance().evaluationDate() = today;
to set it as the evaluation date, otherwise some calculations might
not be consistent;
2) Libor rates are simply compounded, but you're asking the curve for
continuously compounded rates. You should use
yieldCurve->zeroRate(d, dc, Simple);
3) you're using TARGET to calculate the spot date, but the USD libor
uses the US calendar. Use
Calendar calendar = UnitedStates();
instead;
4) if you just ask for the rates at settlement + periods[i], you might
end up on a holiday or a weekend. Use
calendar.adjust(settlement + periods[i])
instead, where calendar is as above.
Modifying your program as above, I get the correct rates.
Luigi
> ------------------------------------------------------------------------------
On Wed, May 7, 2014 at 2:02 PM, George Cowie <[hidden email]> wrote:
>
> I feel like this flavor of question has been asked before on this forum,
> but I can't seem to figure out what I'm doing wrong. I would expect the
> following code to return pretty much the same rates I input into the
> RateHelpers, but that's not the case.
>
> Am I incorrect about the expected functionality, or do I have something
> wrong with my code?
>
> Thanks,
> George
>
> Output:
>
> Period,Input Rate,Curve Rate
> 1W,0.0012075,0.00120749
> 1M,0.001515,0.00138513
> 2M,0.001935,0.00176613
> 3M,0.0022535,0.00209296
> 6M,0.00323,0.00306812
> 1Y,0.00549,0.005284
>
> Code:
>
> #include <ql/quantlib.hpp>
>
> using namespace std ;
> using namespace QuantLib ;
>
> int main(int argc, char** argv)
> {
> vector<Rate> liborRates ;
> liborRates.push_back(0.12075 / 100.0) ; //1W
> liborRates.push_back(0.1515 / 100.0) ; //1M
> liborRates.push_back(0.1935 / 100.0) ; //2M
> liborRates.push_back(0.22535 / 100.0) ; //3M
> liborRates.push_back(0.323 / 100.0) ; //6M
> liborRates.push_back(0.549 / 100.0) ; //12M
>
> vector<Period> periods ;
> periods.push_back(Period(1,Weeks)) ;
> periods.push_back(Period(1,Months)) ;
> periods.push_back(Period(2,Months)) ;
> periods.push_back(Period(3,Months)) ;
> periods.push_back(Period(6,Months)) ;
> periods.push_back(Period(12,Months)) ;
>
> vector<boost::shared_ptr<RateHelper> > instruments ;
>
> for (vector<int>::size_type i = 0 ; i < liborRates.size() ; i++)
> {
> boost::shared_ptr<Quote> liborQuote(new SimpleQuote(liborRates[i])) ;
> Handle<Quote> liborHandle(liborQuote) ;
> boost::shared_ptr<IborIndex> liborIndex(new USDLibor(periods[i])) ;
> boost::shared_ptr<RateHelper> rateHelper(new
> DepositRateHelper(liborHandle,liborIndex)) ;
> instruments.push_back(rateHelper) ;
> }
>
> Calendar calendar = TARGET ();
> Date today (29 , Apr ,2014);
> Natural settlementDays = 2;
> Date settlement = calendar.advance ( today , settlementDays , Days );
> DayCounter dc = Actual360 ();
> boost::shared_ptr <YieldTermStructure> yieldCurve ;
> yieldCurve = boost::shared_ptr <YieldTermStructure>(new
> PiecewiseYieldCurve < ZeroYield , Linear >( settlement , instruments ,
> dc ));
>
> cout << "Period,Input Rate,Curve Rate" << endl ;
> for(vector<int>::size_type i = 0 ; i < periods.size() ; i++)
> {
> Rate curveRate = Rate(yieldCurve->zeroRate(settlement + periods[i],
> dc, Continuous)) ;
> cout << periods[i] << "," << liborRates[i] << "," << curveRate << endl
> ;
> }
>
> return 0 ;
> }
>
>
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