Re: addFixings example needed

Posted by Christian Bøhlke on
URL: http://quantlib.414.s1.nabble.com/addFixings-example-needed-tp6083p6085.html

Thanks Luigi, it works!

 

My approach in pricing the swaps is as follows:

• Pull Euro-swap quotes from Bloomberg and build a Euroswap curve using QLs Bootstrap+Cubic Spline curvebuilding functionality
• Create a swap, for example
• Issue date: 1/4/2008
• Maturity date: 12/9/2034
• Nominal: 16,825,000 EUR
• Swap type: Fixed 4.415% against Euribor 6M ACT/360
• Set  Settings::instance().evaluationDate() to 10/19/2011
• Set discountingTermStructure.linkTo to the estimated termstructure
• Set the Missing Euribor6M Actual/360 fixing for June 30th, 2011 to 1.788% using the .addFixing method
• Price the swap using the associated functions
• .NPV()
• .fixedLegNPV()
• .floatingLegNPV()

My problem is that I get NPVs that are way off.

I get

NPV           | fixedNPV       | floatingNPV
-------------------------------------------------------------
5,426,635.41 | 13,476,292.14  | -8,049,656.74  

  

where I would expect something like

 

NPV           | fixedNPV       | floatingNPV
-------------------------------------------------------------

4,624,679   | 21,463,334     | -16.838.654

 

 

Can someone help me on what I am conceptually doing wrong?

 

Thanks in advance,

 

Christian Bohlke

 

 

 

On Thu, Oct 20, 2011 at 4:06 PM, Luigi Ballabio <[hidden email]> wrote:

You can use the begin() and end() methods to extract iterators from C++
containers such as std::vector.

vector<Date> dates;
vector<Real> fixings;

... (fill the vectors)

index.addFixings(dates.begin(), dates.end(), fixings.begin());


Regards,
       Luigi

On Thu, <a href="tel:2011-10-20" value="[phone]">2011-10-20 at 15:50 +0200, Christian Bøhlke wrote:
> Hi
>
> I am trying to implement the
> swapexample included in
> the quantlib library on some "real"
> data.
>
> I can figure out how to manually
> add a fixing day to an index via
> addFixing. However, due to
> my limited knowledge of templated
> classes, I can not deduce how to
> approach the addFixings method.
>
> That is using template<class
> DateIterator, class ValueIterator>
> on the method
>
> void
> addFixings (DateIterator dBegin,
> DateIterator dEnd, ValueIterator
> vBegin)
>
> If someone could provide an example on how to approach the addFixings
> method I would be very happy.
>
> Thanks in advance,
>
> Christian Bohlke

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