Re: issues with FuturesRateHelper when build AUD depo-future-swap curve
Posted by Yan Kuang on
URL: http://quantlib.414.s1.nabble.com/reference-of-boost-shared-ptr-instead-of-Handle-tp7623p7658.html
Fixed a typo, new files attached:
Future contract delivery date sometime is same as last trading date (AUD BBF, EuroDollar Futures (
Second London bank business day prior to the third Wednesday of the contract month)),
or even after underlying index start date (NZ Bill Future). IMMDate is underlying start date.
While last trading date (expiry date) is not used in curve construction, it's roll-over date, and very important to maintain a curve.
For a future contract (whether used to construct curve), my view is that it is important to model the last trading date, and way
to work out what is the underlying start date (last trading date + fixing).
Cheers,
Yan
On Mon, Sep 14, 2009 at 1:41 AM, Yan Kuang <[hidden email]> wrote:
> Agree, I had another look at IMM date in Quantlib, it's 3dr Wenesday, which
> is the underlying start date. Future last trading date or underlying start
> date can infer each other, so both way are ok.
The IMMDates are defined as the 3rd Wednesday of March, June,
September and December (or in a broader sense the 3rd Wednesday of any
month)
They are the delivery date of futures contracts on most (all?)
exchanges. What is the last trading date for each contract depends on
the contract, and generally speaking is not relevant for
bootstrapping, the delivery date being the relevant one
ciao -- Nando
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gbpliborswap.hpp (2K) Download Attachment
swapindex.hpp (4K) Download Attachment
swaptionvolcube.cpp (5K) Download Attachment
URL: http://quantlib.414.s1.nabble.com/reference-of-boost-shared-ptr-instead-of-Handle-tp7623p7658.html
Fixed a typo, new files attached:
| Yan Kuang <[hidden email]>
15/09/2009 10:13 AM |
|
Future contract delivery date sometime is same as last trading date (AUD BBF, EuroDollar Futures (
Second London bank business day prior to the third Wednesday of the contract month)),
or even after underlying index start date (NZ Bill Future). IMMDate is underlying start date.
While last trading date (expiry date) is not used in curve construction, it's roll-over date, and very important to maintain a curve.
For a future contract (whether used to construct curve), my view is that it is important to model the last trading date, and way
to work out what is the underlying start date (last trading date + fixing).
Cheers,
Yan
| Ferdinando Ametrano <[hidden email]>
Sent by: [hidden email] 14/09/2009 06:30 PM |
|
On Mon, Sep 14, 2009 at 1:41 AM, Yan Kuang <[hidden email]> wrote:
> Agree, I had another look at IMM date in Quantlib, it's 3dr Wenesday, which
> is the underlying start date. Future last trading date or underlying start
> date can infer each other, so both way are ok.
The IMMDates are defined as the 3rd Wednesday of March, June,
September and December (or in a broader sense the 3rd Wednesday of any
month)
They are the delivery date of futures contracts on most (all?)
exchanges. What is the last trading date for each contract depends on
the contract, and generally speaking is not relevant for
bootstrapping, the delivery date being the relevant one
ciao -- Nando
Please consider our environment before printing this email.
WARNING - This email and any attachments may be confidential. If received in error, please delete and inform us by return email. Because emails and attachments may be interfered with, may contain computer viruses or other defects and may not be successfully replicated on other systems, you must be cautious. Westpac cannot guarantee that what you receive is what we sent. If you have any doubts about the authenticity of an email by Westpac, please contact us immediately.
It is also important to check for viruses and defects before opening or using attachments. Westpac's liability is limited to resupplying any affected attachments.
This email and its attachments are not intended to constitute any form of financial advice or recommendation of, or an offer to buy or offer to sell, any security or other financial product. We recommend that you seek your own independent legal or financial advice before proceeding with any investment decision.
Westpac Institutional Bank is a division of Westpac Banking Corporation, a company registered in New South Wales in Australia under the Corporations Act 2001 (Cth). Westpac is authorised and regulated in the United Kingdom by the Financial Services Authority and is registered at Cardiff in the United Kingdom as Branch No. BR 106. Westpac operates in the United States of America as a federally chartered branch, regulated by the Office of the Comptroller of the Currency.
Westpac Banking Corporation ABN 33 007 457 141.------------------------------------------------------------------------------
Come build with us! The BlackBerry® Developer Conference in SF, CA
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WARNING - This email and any attachments may be confidential. If received in error, please delete and inform us by return email. Because emails and attachments may be interfered with, may contain computer viruses or other defects and may not be successfully replicated on other systems, you must be cautious. Westpac cannot guarantee that what you receive is what we sent. If you have any doubts about the authenticity of an email by Westpac, please contact us immediately.
It is also important to check for viruses and defects before opening or using attachments. Westpac's liability is limited to resupplying any affected attachments.
This email and its attachments are not intended to constitute any form of financial advice or recommendation of, or an offer to buy or offer to sell, any security or other financial product. We recommend that you seek your own independent legal or financial advice before proceeding with any investment decision.
Westpac Institutional Bank is a division of Westpac Banking Corporation, a company registered in New South Wales in Australia under the Corporations Act 2001 (Cth). Westpac is authorised and regulated in the United Kingdom by the Financial Services Authority and is registered at Cardiff in the United Kingdom as Branch No. BR 106. Westpac operates in the United States of America as a federally chartered branch, regulated by the Office of the Comptroller of the Currency.
Westpac Banking Corporation ABN 33 007 457 141.
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