Nice one! I am not in a complete rush. How long (typically) before this would get released to prod?
Ben
From: Luigi Ballabio [mailto:[hidden email]]
Sent: Tuesday, 26 May 2015 7:16 PM
To: Ben and Sonia
Cc: QuantLib users
Subject: Re: [Quantlib-users] Bootstrapping AUD Swaps curve
As it happens, there's been a pull request about this submitted a few days ago; it's at <https://github.com/lballabio/quantlib/pull/244>. If you're comfortable working with unreleased code, you can check it out from Nando's fork at <https://github.com/fametrano/quantlib/tree/sfe>.
Luigi
On Tue, May 26, 2015 at 11:06 AM, Ben and Sonia <[hidden email]> wrote:
Hi Luigi,
That seems to have worked – many thanks.
One other question I could not resolve was the use of BAB futures (Bank Accepted Bill Futures) that trade in the AUD market. These do not have the same expiry convention to IMM contracts (they are the 1 day prior to the second Friday of the delivery month) rather than the are the third Wednesday. There are also some other differences in that the contracts are 90d rather than from contract date to contract date. For now it is Ok has I have switched the futures off, but I would like to have the correct underlying contracts as part of my curve construction. Are BAB dates and the underlying contracts supported in QuantLib?
Regards
Ben
From: Luigi Ballabio [mailto:[hidden email]]
Sent: Tuesday, 26 May 2015 6:45 PM
To: Ben and Sonia
Cc: QuantLib users
Subject: Re: [Quantlib-users] Bootstrapping AUD Swaps curve
Hi Ben,
I'm not that familiar with QuantLibXL (I'm writing this from a Linux box) but from looking at the code, it seems like you might try using qlIborIndex instead of qlLibor. The latter seems to be rather constrained in the currencies it can take. qlIborIndex has no such restriction.
Hope this helps,
Luigi
On Tue, May 26, 2015 at 2:52 AM, Ben and Sonia <[hidden email]> wrote:
Hi,
This is the first time I have use this forum, so I hope that this question is appropriate. I am using QuantlibXL and I am trying to build an AUD swaps curve. The first problem I am facing is the BBSW index. I see that there is a Euibor and Libor, but no BBSW. I did try and create an AUD Libor but got this; “qlLibor - Unhandled currency AUD”. Looks like I perhaps need to use qlProxyIbor, but struggling to get this working (I get “qlProxyIbor - Unknown id for Type:”. Is there any examples of building an BBSW index, or even examples of building an AUD curve. That would be appreciated.
Regards
Ben
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