Posted by
Smith, Dale (Norcross) on
URL: http://quantlib.414.s1.nabble.com/QuantLib-Users-IborIndex-Fixings-vs-Bloomberg-Fixings-tp5632p5643.html
Let me read this over carefully. Thanks for the response.
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: Tuesday, April 10, 2012 10:42 AM
To: Smith, Dale
Cc:
[hidden email]
Subject: Re: [Quantlib-users] [QuantLib-Users] IborIndex Fixings vs
Bloomberg Fixings
Dale,
I've had a quick look.
First thing: except for the first one, the fixings you're adding to the
index won't be used since they're for future dates. The coupon will
look at its fixing date, see that it's in the future, skip the lookup
among the stored fixings and forecast the fixing off the curve.
Second: the way you were printing the fixings was a bit off: you were
adjusting the payment date and asking the index for a fixing at that
date, but this would give you the fixing at the end of the coupon and
moreover would disregard the fixing days. I've modified the printout
loop a bit to get the rates actually used by the coupon, and I'm
attaching the updated file. With the modification, you can see that the
first coupon is matched exactly (it fixes on today's date, so it is
looked up and found). Also, I've modified the fixed frequency so that
it matches that of the swaps used to bootstrap the curve (it doesn't
affect the floating-rate fixings anyway) and checked that it reprices
the quoted 5-years rate correctly.
Now, if you want to use the market data (deposit, futures etc.) and
forecast the Libor fixings based on those, you'll probably have to do
some calculations to try and see what's happening. For instance, you
might estimate what the second fixing should be: from the 3m deposit you
can calculate the discount at three months from today's date, and from
the futures you can work your way outwards and get the discounts at
their maturity date (their price depends on the discounts at the start
and end date of the underlying fixing, you know the discount at the
start date because you can interpolate it from the discounts you found
so far, you get the discount at the end date). Once you have the
discount at the 6-months point, you can calculate the Libor fixing for
the second coupon. To check that the curve is doing the same, you might
want to use PiecewiseYieldCurve<Discount, ...> and call its
nodes() method which returns a vector of pairs (date, discount).
If you just want to use the Bloomberg fixings instead, you can try
feeding the first to a DepositRateHelper and the others to
FraRateHelpers instead. This will bootstrap the curve so that it
reprices the forward rate passed to each helper, so you should retrieve
the same rates in your swap. The calculation won't really be based on
market rates, though.
Hope this helps,
Luigi
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