[In response to] difficulty costructing PiecewiseYieldCurve with USD Libor fixes.

Posted by BERTOCCHI NICHOLAS on Sep 13, 2016; 1:41pm
URL: http://quantlib.414.s1.nabble.com/In-response-to-difficulty-costructing-PiecewiseYieldCurve-with-USD-Libor-fixes-tp17718.html

Dear Vinod,

 

your first problem is related to the different ways used by Libor indexes and yield curves to evaluate the settlement date. Libor indexes use the u.k. calendar to move 2 days forward and then adjust the settlement date taking care of local calendar (u.s. calendar in your case). Yield curves use only the calendar passed to the constructor (u.s. calendar). If you have a local holidays in the middle (for example in t+1), in the first case it will be considered as one of the two working days, in the second case it will be jumped. I suggest you to use another PiecewiseYieldCurve constructor in which you don't have to set the calendar and the settlement days to the curve but directly the settlement date. In this way you can specify as input the proper settlement date (2016-09-06 in your case).

Moving to the second point, if you pass two settlement days to the curve, any instrument with maturity in the first 2 days will be ignored. Curve settlement days different form 0 are used when you are bootstrapping a tenor curve (for example 3M curve) and you don’t have any information over the 2 days period before the value date of your first instrument (for example 3M deposit). By choosing 2 settlement days you are forcing the curve to start from t+2 (discount 1 at t+2). If you want to include the o/n rate and/or the t/n rate I suggest you to pass 0 settlement days to the curve.

Your last issue looks very strange. In your version of QuantLib (it is different in the last releases) the yield curve should use rate helper maturities as pillar dates. A deposit maturity is set equal to the Ibor index end date. I need to go deeper in the problem to give you an answer.

I hope it will help you.

Kind Regards,

 

Nicholas

Prima di stampare, pensa all'ambiente ** Think about the environment before printing

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