Re: matching EUR OIS to bloomberg with python
Posted by
Luigi Ballabio on
Aug 03, 2016; 6:59am
URL: http://quantlib.414.s1.nabble.com/matching-EUR-OIS-to-bloomberg-with-python-tp17631p17633.html
Hi,
can you share the data you're using (and possibly the rate you're trying to reproduce)?
Luigi
Hi,
Apologies if I've made a basic error somewhere, but I've been banging my
head against this problem for a while now!
I'd been trying to match curves from a different system with no joy, so
instead gone back to Bloomberg, taken market rates for a given day and based
on the EONIA bootstrapping example in the ql python cookbook, substituted in
values and dates, largely using all the code as is there - just the deposit
rate helper has a single 1day value, then the OISRateHelper populated out
with 1wk, 2wk, onwards as per the Bloomberg screen.
Discount rates seem to match up to about the 4th or 5th decimal place, but I
can't get accurately close to the zero rates. Is something wrong here (this
is about the closest I can bring the zero rate to the bbg zero rate)
for d in curve.dates():
yrs =
ql.Thirty360(ql.Thirty360.European).yearFraction(todaysDate, d)
compounding = ql.Compounded
freq = ql.Quarterly
zero_rate = curve.zeroRate(yrs, compounding, freq)
print(d, zero_rate.rate()*100, curve.discount(d))
Thanks a lot!
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