Posted by
Grison PG Pierre (External DEXIA-US) on
URL: http://quantlib.414.s1.nabble.com/single-currency-basis-swap-pricing-tp15842p15917.html
Hello Peter,
That's done. I have extended the class. I'm now going to add a OvernightBasisSwapRateHelper class so as to build my rates based on several basis swap quotes.
Best,
Pierre
-----Original Message-----
From: Peter Caspers [mailto:
[hidden email]]
Sent: Monday, September 08, 2014 2:01 PM
To: Grison PG Pierre (External DEXIA-US)
Cc: Jean-Mathieu Vermosen;
[hidden email]
Subject: Re: [Quantlib-users] single currency basis swap pricing
Hi,
the FloatFloatSwap should be functional and would hopefully behave like the general swap set up with two floating legs. However it does not allow for on overnight index on its legs. Which could be added easily though. Same with the implied spread. Maybe it would be nicer to extend the existing class rather than set up a new one ?
Best regards
Peter
On 8 September 2014 18:34, Grison PG Pierre (External DEXIA-US) <
[hidden email]> wrote:
> Hi Jean-Mathieu,
>
>
>
> Thank you very much for your quick answer. So, I’m going to implement
> a basis swap class that performs those calculations and does the job!
>
>
>
> Best,
>
>
>
> Pierre
>
>
>
>
>
>
>
> From: Jean-Mathieu Vermosen [mailto:
[hidden email]]
> Sent: Monday, September 08, 2014 12:17 PM
> To: Grison PG Pierre (External DEXIA-US)
> Cc:
[hidden email]
> Subject: Re: [Quantlib-users] single currency basis swap pricing
>
>
>
> Hi Pierre,
>
>
>
> I’m not sure the floatfloatswap class is fully functional right now.
>
>
>
> Alternatively, you can build each leg using its predefined constructor
> (iborLeg in ql/cashflows/iborCoupon.hpp, OvernightLeg in
> ql/cashflows/overnightindexedcoupon.hpp, etc) and pass the legs to the
> generic quantlib::swap constructor.
>
>
>
> However, getting the fair spread value requires to set some 1D
> optimization loop, and I doubt this functionality has been implemented
> yet except for the fixed/float vanillaSwap class.
>
>
>
> Best,
>
>
>
> Jean-Mathieu Vermosen
>
>
>
> On Sep 8, 2014, at 9:51 AM, Grison PG Pierre (External DEXIA-US)
> <
[hidden email]> wrote:
>
>
>
> Hello everyone,
>
>
>
> Does anyone know how it is possible to price basis swap with QL
> (floating vs floating : ibor/ibor, ON index/ON index and ibor vs ON
> index)? Is the floatfloatswap class the most appropriate tool to calculate fair spread ?
>
>
>
> Thank you,
>
>
>
> Pierre
>
>
>
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