Re: Fwd: Floating errors in the term-structure code?

Posted by Student T on Apr 12, 2016; 2:40pm
URL: http://quantlib.414.s1.nabble.com/Fwd-Floating-errors-in-the-term-structure-code-tp17402p17404.html

Luigi,

I don't know what exactly causing it. I've attached the full-source code.

On Wed, Apr 13, 2016 at 1:36 AM, Luigi Ballabio <[hidden email]> wrote:

Hello,

    the discrepancy seems rather large to be due to a floating-point error. It might be due to a day-count mismatch, or some other convention instead. What is the underlying index, and what are the coupon dates for the case above?

Luigi

On Tue, Apr 12, 2016 at 4:54 PM Ted Wong <[hidden email]> wrote:

Hi,

I have an LIBOR index that is linked to a flat forward-curve. Although this is unrealistic, I just want it to test QuantLib's implementation. 

My fixed rate is 0.10, so I expect if I put a breakpoint inside QuantLib, I would see it. However, the rate I get is 0.100459737, please take a look at my screenshot.

My suspicion is that QuantLib calculates the forward rate by dividing two discount factors in IborIndex::forecastFixing, and thus causing some floating errors. Am I right?

My code and screenshot are here:

    RelinkableHandle<YieldTermStructure> termStructure;              

    termStructure.linkTo(flatRate(t_, 0.10, Actual360()));

                <Create a swap>

    std::cout << swap->NPV() << std::endl;

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