Re: [QuantLib-Users] IborIndex Fixings vs Bloomberg Fixings

Posted by Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/QuantLib-Users-IborIndex-Fixings-vs-Bloomberg-Fixings-tp5632p5633.html

Sorry, I had saved your post but I didn't have time to follow through.
Do you have a set of inputs that reproduces the problem? (Evaluation
date, input rates, conventions you're using...)

Luigi


On Mon, Apr 2, 2012 at 9:49 PM, Smith, Dale <[hidden email]> wrote:

> Sending again in hopes it was simply forgotten…
>
>
>
> Thanks,
>
> Dale Smith, Ph.D.
>
> Senior Financial Quantitative Analyst
>
> Risk & Compliance
>
> Fiserv.
>
> 107 Technology Park
>
> Norcross, GA 30092
>
> Office: 678-375-5315
>
> Mobile: [phone]
>
> Mail: [hidden email]
>
> www.fiserv.com
>
>
>
> From: Smith, Dale
> Sent: Thursday, March 29, 2012 10:43 AM
> To: [hidden email]
> Subject: [QuantLib-Users] IborIndex Fixings vs Bloomberg Fixings
>
>
>
> Hello,
>
>
>
> I’m trying to tie out a QuantLib program with Bloomberg’s SWPM screen. I
> have the deposit, futures, and swap rates as in the Swap example project,
> and created an IborIndex using the joint UK and US calendars to pick up both
> sets of holidays.
>
>
>
> boost::shared_ptr<IborIndex> idx(new USDLibor(Period(3, Months),
> forecastingTermStructure));
>
>
>
> forecastingTermStructure is linked to
>
>
>
>         boost::shared_ptr<YieldTermStructure> depoFutSwapTermStructure(
>
>             //new PiecewiseYieldCurve<Discount, Linear>(
>
>                      new PiecewiseYieldCurve<ZeroYield, Linear>(
>
>                                        settlementDate,
> depoFutSwapInstruments,
>
>                                        termStructureDayCounter,
>
>                                        tolerance));
>
>
>
> My problem is the fixings used in the floating leg that Bloomberg uses are
> not the same as what QuantLib uses. I did do a clearFixing() on the
> IborIndex object and added the fixings I see on the SWPM Resets tab. I’ve
> also confirmed by calculations in Excel that the difference in cashflows on
> the floating leg is due entirely to the fixings.
>
>
>
> Bloomberg uses Piecewise Linear (Simple) for the interpolation. I changed
> that to Piecewise Linear (Continuous) but the fixings still don’t match. I
> also changed to PiecewiseYieldCurve<ZeroYield, Linear> in my own code after
> confirming with Bloomberg they are interpolating the term structure, not the
> discount factors or the market rates.
>
>
>
> I’ve used Google to search for answers to this, and looked at the examples
> and unit tests in the QuantLib code. Is there anywhere I’ve missed in my
> searches?
>
>
>
> Thanks,
>
> Dale Smith, Ph.D.
>
> Senior Financial Quantitative Analyst
>
> Risk & Compliance
>
> Fiserv.
>
> 107 Technology Park
>
> Norcross, GA 30092
>
> Office: 678-375-5315
>
> Mobile: [phone]
>
> Mail: [hidden email]
>
> www.fiserv.com
>
>
>
>
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