Re: OIS Curve Discounting
Posted by Theo Boafo on
URL: http://quantlib.414.s1.nabble.com/Re-OIS-Curve-Discounting-tp16510.html
Luigi,George and Cheng,
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Luigi,George and Cheng,
Please also see this code that was attached to a Quantlib email some time back and I created an example out of it. Perhaps this could be used as an example for Quantlib. There have been a lot of requests for an example.
May be Luigi could use this.
Regards
Theo
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Subject: QuantLib-users Digest, Vol 107, Issue 14
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Today's Topics: 1. Re: Help on running QuantLibXL (dragomir nedeltchev) 2. QuantLibXL / ObjectHandler 1.5.0 Released (Eric Ehlers) 3. Re: OIS dual curve discounting (George Wang) 4. ??: OIS dual curve discounting (Cheng Li)
Attached Message
| From | dragomir nedeltchev <[hidden email]> |
| To | Eric Ehlers <[hidden email]>; [hidden email] <[hidden email]> |
| Subject | Re: [Quantlib-users] Help on running QuantLibXL |
| Date | Sun, 19 Apr 2015 05:25:49 +0000 (UTC) |
Hi All,
That is a good news. I appreciate your dedication to keeping QuantLibXL updated.
Kind regards, Dragomir
On Saturday, April 18, 2015 7:53 PM, Eric Ehlers <[hidden email]> wrote:
For the upcoming release of QuantLibXL 1.5, this problem has been
fixed, the workbook InterestRateDerivatives.xlsx has been modified to
use the next working day if the current day is not a business day -
thanks to Paolo Mazzocchi.
On Sun, 5 Apr 2015 14:38:24 +0200
Peter Caspers < [hidden email]> wrote:
> Does it happen when pricing a swap or some similar instrument ? Then
> maybe it is just its reference date being a holiday (April 5th, 2015)
> ? The technical start date would then be next Wednesday with
> corresponding fixing date last Thursday. Either the reference date of
> the swap should be moved to the next business day or even the global
> evaluation date ?
> Peter
>
> On 5 April 2015 at 12:56, Eric Ehlers < [hidden email]> wrote:
> > On Sun, 5 Apr 2015 06:35:02 +0000 (UTC)
> > dragomir nedeltchev < [hidden email]> wrote:
> >
> >> Hi All,
> >> I installed QuantLibXL and activated the addin, as per the
> >> instructions on the site. I opened InterestRateDerivatives.xls and
> >> pressed Ctrl-Alt-F9. I received #NUM! in the output cell. The above
> >> goes for both 1.4 and 1.5 QuantLibXL version on my Excel 2010 32-
> >> and 64-bit version. What shall I do to run QuantLibXL? Regards,
> >> Dragomir
> >
> > If you call ohRangeRetrieveError() to get the error message
> > associated with the #NUM, you get
> >
> > Missing Euribor6M Actual/360 fixing for April 2nd, 2015
> >
> > This did not happen when the workbook was first written, the
> > behavior relating to fixings must have changed somehow. I will try
> > to investigate.
> >
> > Regards,
> > Eric
> >
> > ------------------------------------------------------------------------------
> > Dive into the World of Parallel Programming The Go Parallel
> > Website, sponsored by Intel and developed in partnership with
> > Slashdot Media, is your hub for all things parallel software
> > development, from weekly thought leadership blogs to news, videos,
> > case studies, tutorials and more. Take a look and join the
> > conversation now. http://goparallel.sourceforge.net/
> > _______________________________________________ QuantLib-users
> > mailing list [hidden email]
> > https://lists.sourceforge.net/lists/listinfo/quantlib-users
fixed, the workbook InterestRateDerivatives.xlsx has been modified to
use the next working day if the current day is not a business day -
thanks to Paolo Mazzocchi.
On Sun, 5 Apr 2015 14:38:24 +0200
Peter Caspers < [hidden email]> wrote:
> Does it happen when pricing a swap or some similar instrument ? Then
> maybe it is just its reference date being a holiday (April 5th, 2015)
> ? The technical start date would then be next Wednesday with
> corresponding fixing date last Thursday. Either the reference date of
> the swap should be moved to the next business day or even the global
> evaluation date ?
> Peter
>
> On 5 April 2015 at 12:56, Eric Ehlers < [hidden email]> wrote:
> > On Sun, 5 Apr 2015 06:35:02 +0000 (UTC)
> > dragomir nedeltchev < [hidden email]> wrote:
> >
> >> Hi All,
> >> I installed QuantLibXL and activated the addin, as per the
> >> instructions on the site. I opened InterestRateDerivatives.xls and
> >> pressed Ctrl-Alt-F9. I received #NUM! in the output cell. The above
> >> goes for both 1.4 and 1.5 QuantLibXL version on my Excel 2010 32-
> >> and 64-bit version. What shall I do to run QuantLibXL? Regards,
> >> Dragomir
> >
> > If you call ohRangeRetrieveError() to get the error message
> > associated with the #NUM, you get
> >
> > Missing Euribor6M Actual/360 fixing for April 2nd, 2015
> >
> > This did not happen when the workbook was first written, the
> > behavior relating to fixings must have changed somehow. I will try
> > to investigate.
> >
> > Regards,
> > Eric
> >
> > ------------------------------------------------------------------------------
> > Dive into the World of Parallel Programming The Go Parallel
> > Website, sponsored by Intel and developed in partnership with
> > Slashdot Media, is your hub for all things parallel software
> > development, from weekly thought leadership blogs to news, videos,
> > case studies, tutorials and more. Take a look and join the
> > conversation now. http://goparallel.sourceforge.net/
> > _______________________________________________ QuantLib-users
> > mailing list [hidden email]
> > https://lists.sourceforge.net/lists/listinfo/quantlib-users
Attached Message
| From | Eric Ehlers <[hidden email]> |
| To | [hidden email]; [hidden email] |
| Subject | [Quantlib-users] QuantLibXL / ObjectHandler 1.5.0 Released |
| Date | Tue, 21 Apr 2015 02:05:41 +0300 |
QuantLibXL, QuantLibAddin, ObjectHandler, and gensrc version 1.5.0 have been released and are available for download: http://sourceforge.net/projects/quantlib/files/ QuantLibAddin http://www.quantlibaddin.org QuantLibAddin exports the QuantLib interface to a variety of end user platforms including OpenOffice.Org Calc. QuantLibXL http://www.quantlibxl.org QuantLibXL is the implementation of QuantLibAddin for Microsoft Excel. The QuantLibXL project includes a binary release comprising a compiled Addin and example workbooks. ObjectHandler http://www.objecthandler.org ObjectHandler implements a repository where objects can be stored, shared, updated, interrogated, and destroyed. This facilitates object orientation in procedural environments such as spreadsheets. The QuantLib group
Attached Message
| From | George Wang <[hidden email]> |
| To | Luigi Ballabio <[hidden email]> |
| CC | [hidden email] <[hidden email]> |
| Subject | Re: [Quantlib-users] OIS dual curve discounting |
| Date | Mon, 20 Apr 2015 19:57:53 -0400 |
Hi Luigi, Hope you have time to work on this example soon. I am very interested in this as well. I just bought the "Implementing Quantlib" ebook hoping to find something related to dual curve, but it seems not there based on my quick browse. Thanks, George Sent from my iPhone > On Mar 28, 2014, at 12:11 PM, Luigi Ballabio <[hidden email]> wrote: > > Hello, > apologies for the delay: I had a busy month both at work and at > home and I had to drop the ball on the mailing list. > I'll try and make such an example in the coming month. > > Luigi > >> On Thu, Feb 27, 2014 at 3:12 PM, Mahendra Singh <[hidden email]> wrote: >> Hi, is there an example of using quantlib to build a curve using ois dual >> curve discounting? >> Currently using fincad to do this but would like to compare with quantlib. >> >> ------------------------------------------------------------------------------ >> Flow-based real-time traffic analytics software. Cisco certified tool. >> Monitor traffic, SLAs, QoS, Medianet, WAAS etc. with NetFlow Analyzer >> Customize your own dashboards, set traffic alerts and generate reports. >> Network behavioral analysis & security monitoring. All-in-one tool. >> http://pubads.g.doubleclick.net/gampad/clk?id=126839071&iu=/4140/ostg.clktrk >> _______________________________________________ >> QuantLib-users mailing list >> [hidden email] >> https://lists.sourceforge.net/lists/listinfo/quantlib-users > > > > -- > <https://implementingquantlib.blogspot.com> > <https://twitter.com/lballabio> > > ------------------------------------------------------------------------------ > _______________________________________________ > QuantLib-users mailing list > [hidden email] > https://lists.sourceforge.net/lists/listinfo/quantlib-users
Attached Message
| From | Cheng Li <[hidden email]> |
| To | 'George Wang' <[hidden email]>; 'Luigi Ballabio' <[hidden email]> |
| CC | [hidden email] |
| Subject | [Quantlib-users] 答复: OIS dual curve discounting |
| Date | Tue, 21 Apr 2015 09:56:53 +0800 |
Hi George, Please the attachment for an example of how to use quantlib to do dual curve calibration. The basic procedure of dual curve calibration in quantlib is to do that one by one (not simultaneously). 1. fit the discounting curve Here is the ``yts_ois_benchmark`` in the example. 2. fit the forwarding curve The rate helpers for some instruments can take into one external discounting curve ( in our case, the swap rate helper). In such setting, user can make the discounting curve frozen as he wish and only calibrate the forwarding curve. So we get the forwarding curve ``yts_swap_benchmark`` If you want some stuff on simultaneous curve bootstrap, Kosynski making some effort in this direction, please see the following link: https://github.com/lballabio/quantlib/pull/162 Actually my codes sample is taken from his codes stuff. Regards, Cheng -----邮件原件----- 发件人: George Wang [[hidden email]] 发送时间: 2015年4月21日 7:58 收件人: Luigi Ballabio 抄送: [hidden email] 主题: Re: [Quantlib-users] OIS dual curve discounting Hi Luigi, Hope you have time to work on this example soon. I am very interested in this as well. I just bought the "Implementing Quantlib" ebook hoping to find something related to dual curve, but it seems not there based on my quick browse. Thanks, George Sent from my iPhone > On Mar 28, 2014, at 12:11 PM, Luigi Ballabio <[hidden email]> wrote: > > Hello, > apologies for the delay: I had a busy month both at work and at > home and I had to drop the ball on the mailing list. > I'll try and make such an example in the coming month. > > Luigi > >> On Thu, Feb 27, 2014 at 3:12 PM, Mahendra Singh <[hidden email]> wrote: >> Hi, is there an example of using quantlib to build a curve using ois >> dual curve discounting? >> Currently using fincad to do this but would like to compare with quantlib. >> >> --------------------------------------------------------------------- >> --------- Flow-based real-time traffic analytics software. Cisco >> certified tool. >> Monitor traffic, SLAs, QoS, Medianet, WAAS etc. with NetFlow Analyzer >> Customize your own dashboards, set traffic alerts and generate reports. >> Network behavioral analysis & security monitoring. All-in-one tool. >> http://pubads.g.doubleclick.net/gampad/clk?id=126839071&iu=/4140/ostg >> .clktrk _______________________________________________ >> QuantLib-users mailing list >> [hidden email] >> https://lists.sourceforge.net/lists/listinfo/quantlib-users > > > > -- > <https://implementingquantlib.blogspot.com> > <https://twitter.com/lballabio> > > ---------------------------------------------------------------------- > -------- _______________________________________________ > QuantLib-users mailing list > [hidden email] > https://lists.sourceforge.net/lists/listinfo/quantlib-users ---------------------------------------------------------------------------- -- BPM Camp - Free Virtual Workshop May 6th at 10am PDT/1PM EDT Develop your own process in accordance with the BPMN 2 standard Learn Process modeling best practices with Bonita BPM through live exercises http://www.bonitasoft.com/be-part-of-it/events/bpm-camp-virtual- event?utm_ source=Sourceforge_BPM_Camp_5_6_15&utm_medium=email&utm_campaign=VA_SF _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users
------------------------------------------------------------------------------ BPM Camp - Free Virtual Workshop May 6th at 10am PDT/1PM EDT Develop your own process in accordance with the BPMN 2 standard Learn Process modeling best practices with Bonita BPM through live exercises http://www.bonitasoft.com/be-part-of-it/events/bpm-camp-virtual- event?utm_ source=Sourceforge_BPM_Camp_5_6_15&utm_medium=email&utm_campaign=VA_SF
_______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users
------------------------------------------------------------------------------
BPM Camp - Free Virtual Workshop May 6th at 10am PDT/1PM EDT
Develop your own process in accordance with the BPMN 2 standard
Learn Process modeling best practices with Bonita BPM through live exercises
http://www.bonitasoft.com/be-part-of-it/events/bpm-camp-virtual- event?utm_
source=Sourceforge_BPM_Camp_5_6_15&utm_medium=email&utm_campaign=VA_SF
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