http://quantlib.414.s1.nabble.com/QuantLib-Users-IborIndex-Fixings-vs-Bloomberg-Fixings-tp5632p5635.html
Ok, thanks. I probably won't be able to follow through this week
> Thanks for responding.
>
> I can put this together for you tomorrow my time.
>
> Thanks,
> Dale Smith, Ph.D.
> Senior Financial Quantitative Analyst
> Risk & Compliance
> Fiserv.
> 107 Technology Park
> Norcross, GA 30092
> Office: 678-375-5315
> Mobile: 678-982-6599
> Mail:
[hidden email]
> www.fiserv.com
>
>
> -----Original Message-----
> From: Luigi Ballabio [mailto:
[hidden email]]
> Sent: Monday, April 02, 2012 4:16 PM
> To: Smith, Dale
> Cc:
[hidden email]
> Subject: Re: [Quantlib-users] [QuantLib-Users] IborIndex Fixings vs Bloomberg Fixings
>
> 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: 678-982-6599
>>
>> 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: 678-982-6599
>>
>> Mail:
[hidden email]
>>
>> www.fiserv.com
>>
>>
>>
>>
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