Posted by
MikeD on
URL: http://quantlib.414.s1.nabble.com/Missing-USDLibor6M-Actual-360-fixing-tp7050p7065.html
I'm almost 100% sure QL is doing #1 (May 18 2009 - Aug 17 2009), since
that would be the rate that matches the true accrual period. Just
because we call it the 'libor curve' doesn't necessarily mean that we
only can pull out 3M forward rates. A good way to think about it is
simply a 'libor-denominated curve' in which case you are simply saying
that you constructed your curve from libor-based instruments.
I guess someone who knows how to read C++ would be able to give a
definitive answer on what QL is doing in the code.
Remember that you need to pass old libor fixings (3M) to the curve in
order to generate swaps that have already become effective (i.e. their
cashflows have started to transfer between parties). Use the function
=qlIndexAddFixings.
On Mon, Aug 9, 2010 at 8:55 AM, animesh saxena <
[hidden email]> wrote:
> Yes, that's right. But again the question is -> Is this what Quantlib
> is doing?
> Or is it extending past the start or end dates and hence error in
> finding the libor rate
>
>
> On 8/9/10 7:11 PM, MonkeyMan wrote:
>> animesh saxena<animesh.saxena<at> gmail.com> writes:
>>
>>> ... (gmane made me prune the rest of this post)
>>> Say the 1 year floating leg start on on Feb 17 2009 and end on Feb 17
>>> 2010. The accrual periods, only adjusted to weekends, are
>>> Feb 17 2009, May 18 2009
>>> May 18 2009, Aug 17 2009
>>> Aug 17 2009, Nov 17 2009
>>> Nov 17 2009, Feb 17 2010
>>>
>>> Note that the May 17 2009 is Sunday, so it is adjusted to May 18 2009.
>>> There are two ways to compute the forward rate for period May 18 to Aug
>>> 17 2009.
>>> (1) ForwardRate(May 18 2009, Aug 17 2009), which is "naturally" the same
>>> as the accrual period.
>>> (2) ForwardRate(May 18 2009, May 18 2009 + 3 months), which is using the
>>> 3 months libor definition.
>>> ... (gmane made me prune the rest of this post)
>> Seems like you'd want to go with your first option. You'd need to interpolate
>> the rates in the shorter period rather than extend past the end date. This
>> should be priced into the instrument, right?
>>
>>
>>
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>
> --
> Regards,
> Animesh Saxena
>
> (
http://quantanalysis.wordpress.com)
> Ph: (+91)9920098221
>
>
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