Posted by
Laurent Lefort on
Feb 24, 2009; 6:44pm
URL: http://quantlib.414.s1.nabble.com/Eurodollar-futures-tp7206p7207.html
Hi Boris,
1. If you have a look at the Swap project you'll find how to build a "depo-futures-swap" curve. I don't think there's a convexity adjustment included in the example, you may want to add that if you'd like to be precise. If you want to stop your curve at the last quoted future then just get rid of the swap points in the example.
2. You can only use data relevant to the product you are trying to price. Let's say you're trying to price a swap and you want to imply from the market USD 3M Libor forwards, you just need deposit rates up to 3M, Eurodollar futures (the underlying rate is the 3M Libor so it's correct) and swap rates (against 3M which is the standard in the us). But let's say you're trying to do something a bit funky like implying USD 1M or 12M Libor forwards, well that's another story. That's where basis comes into play and it all gets messy... you need basis swaps, i.e. even though mathematically a floating leg seems to be worth the same whatever its frequency, in practice it's not the case.
Keep in mind there's no way you can build a single curve to price anything you want. You have to take into account the basis effect and the credit component of curves. For instance a swap curve is an interbank curve so it would not make sense to use it to price a corporate bond for instance...same thing the other way around, you should not bootstrap a Treasuries curve to price a swap.
I hope it was more helpfull than confusing.
Laurent
On Tue, Feb 24, 2009 at 2:28 PM, Boris Skorodumov
<[hidden email]> wrote:
Hello All,
1. Suppose, I have Eurodollar futures quotes and would like to derive zero curve from them.
Does QuantLib have any test examples for this?
2. This question is not exactly related to QuantLib. But I though that someone can suggest.
Suppose, I would like to derive zero curve from relevant market data. What kind of market data people usually use in order to do it?
Thank you in advance,
Boris.
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