Posted by
Luigi Ballabio on
Oct 18, 2010; 8:59am
URL: http://quantlib.414.s1.nabble.com/Floating-Legs-Libor-Sensitivity-tp8298p8299.html
On Sun, 2010-10-17 at 22:40 +0200, Lluís Pujol wrote:
> I am trying to calculate Libor sensitivity for Floating Rate Bonds but I
> don't think that it is a way to do it in Quantlib. (I am trying
> tocalculate the sensitivity to interest rate movements of a portfolio of
> fixed and floating rate bonds). If I use the bps functions that appears
> in Bondfunctions for a FRN then I get sensitivities close to a similar
> tenor Fixed Rate Bond.
>
> Additionally if I look to a vanillaswap I do also get similar bps levels
> for the floating and fixed leg. I would expect a really low bps for the
> floating leg.
That's because the LIBOR fixings are modified, but the discount curve is
not (these days, you can't assume they are the same.) If you want to
see the cumulative effect, you can:
- create your risk-free curve;
- wrap it into a ForwardSpreadedTermStructure, with spread initially set
to 0 (keep around the SimpleQuote you passed, since you will use it to
change the spread afterwards;)
- calculate your instrument's NPV;
- set the spread to 1 bp;
- recalculate the NPV and get the BPS as the difference.
Luigi
--
The economy depends about as much on economists as the weather does on
weather forecasters.
-- Jean-Paul Kauffmann
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