QuantLib › quantlib-users

testsuite swap question

Classic

List

Threaded

4 messages Options

Cliffy

testsuite swap question

Hi,

I am doing some experiments in the examples in quantlib testsuite.

in swap.cpp of the testsuite project, I made the fix and floating legs the same, and valuing swaps with no spreads on a flat 0.05 curve. should I get the fix rate = 0.05?

CommonVars() {
type = VanillaSwap::Payer;
settlementDays = 2;
nominal = 100.0;
fixedConvention = ModifiedFollowing;
floatingConvention = ModifiedFollowing;
fixedFrequency = Semiannual;
floatingFrequency = Semiannual;
fixedDayCount = Actual365Fixed();
index = boost::shared_ptr<IborIndex>(new
Euribor(Period(floatingFrequency), termStructure));
calendar = index->fixingCalendar();
today = calendar.adjust(Date::todaysDate());
Settings::instance().evaluationDate() = today;
settlement = calendar.advance(today,settlementDays,Days);
termStructure.linkTo(flatRate(settlement,0.05,Actual365Fixed()));
}

...
Integer lengths[] = { 1, 2, 5, 10, 20 };
Spread spreads[] = { 0, 0, 0.0, 0, 0 };

for (Size i=0; i<LENGTH(lengths); i++) {
for (Size j=0; j<LENGTH(spreads); j++) {

boost::shared_ptr<VanillaSwap> swap =
vars.makeSwap(lengths[i],0.0,spreads[j]);
swap = vars.makeSwap(lengths[i],swap->fairRate(),spreads[j]);
Rate fixR = swap->fixedRate();
...

fixR = 0.051271096376024117

shouldn't it be 0.05 flat? I suspect I miss out something in Euribor index. But I kind of lost in tracing, can someone help?

Thanks

Cliffy

Luigi Ballabio

Re: testsuite swap question

On Mon, 2010-02-22 at 14:33 -0800, Cliffy wrote:
> I am doing some experiments in the examples in quantlib testsuite.
>
> in swap.cpp of the testsuite project, I made the fix and floating legs the
> same, and valuing swaps with no spreads on a flat 0.05 curve. should I get
> the fix rate = 0.05?

Yes, but...

> CommonVars() {
> ...
> fixedDayCount = Actual365Fixed();
> ...
>
> }
>

try fixedDayCount = index->dayCounter(). Euribor accrues at Actual/360.

Luigi

--

Newton's Law of Gravitation:
What goes up must come down. But don't expect it to come down
where you can find it. Murphy's Law applies to Newton's.

------------------------------------------------------------------------------
Download Intel® Parallel Studio Eval
Try the new software tools for yourself. Speed compiling, find bugs
proactively, and fine-tune applications for parallel performance.
See why Intel Parallel Studio got high marks during beta.
http://p.sf.net/sfu/intel-sw-dev
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users

Cliffy

Re: testsuite swap question

thanks, I can see now from it's constructor Euribor accrues at Actual/360

I made the change -

CommonVars() {
type = VanillaSwap::Payer;
settlementDays = 2;
nominal = 100.0;
fixedConvention = ModifiedFollowing;
floatingConvention = ModifiedFollowing;
fixedFrequency = Semiannual;
floatingFrequency = Semiannual;
index = boost::shared_ptr<IborIndex>(new
Euribor(Period(floatingFrequency), termStructure));
calendar = index->fixingCalendar();
fixedDayCount = index->dayCounter();
today = calendar.adjust(Date::todaysDate());
Settings::instance().evaluationDate() = today;
settlement = calendar.advance(today,settlementDays,Days);
//termStructure.linkTo(flatRate(settlement,0.05,Actual365Fixed())); //0.049936653874198329
termStructure.linkTo(flatRate(settlement,0.05,fixedDayCount)); //0.050639044891605742

should I get even closer? like flat 0.0500000000??

Cheers,

Cliffy

Luigi Ballabio wrote

On Mon, 2010-02-22 at 14:33 -0800, Cliffy wrote:
> I am doing some experiments in the examples in quantlib testsuite.
>
> in swap.cpp of the testsuite project, I made the fix and floating legs the
> same, and valuing swaps with no spreads on a flat 0.05 curve. should I get
> the fix rate = 0.05?

Yes, but...

> CommonVars() {
> ...
> fixedDayCount = Actual365Fixed();
> ...
>
> }
>

try fixedDayCount = index->dayCounter(). Euribor accrues at Actual/360.

Luigi

--

Newton's Law of Gravitation:
What goes up must come down. But don't expect it to come down
where you can find it. Murphy's Law applies to Newton's.

------------------------------------------------------------------------------
Download Intel® Parallel Studio Eval
Try the new software tools for yourself. Speed compiling, find bugs
proactively, and fine-tune applications for parallel performance.
See why Intel Parallel Studio got high marks during beta.
http://p.sf.net/sfu/intel-sw-dev
_______________________________________________
QuantLib-users mailing list
QuantLib-users@lists.sourceforge.net
https://lists.sourceforge.net/lists/listinfo/quantlib-users

Luigi Ballabio

Re: testsuite swap question

On Tue, 2010-02-23 at 07:01 -0800, Cliffy wrote:

> thanks, I can see now from it's constructor Euribor accrues at Actual/360
>
> I made the change -
>
> //termStructure.linkTo(flatRate(settlement,0.05,Actual365Fixed()));
> //0.049936653874198329
> termStructure.linkTo(flatRate(settlement,0.05,fixedDayCount));
> //0.050639044891605742
>
>
> should I get even closer? like flat 0.0500000000??

Apologies for the delay. The answer is that the fair rate is the one
for the coupons, so it's 0.050639 semiannual, simply compounded. The
rate you've used in flatRate is 0.05 continuously compounded. If you
make the calculations, they'll turn out to be the same.

Luigi

--

Academic: a term of opprobrium applied to those that do their job well
by those who cannot.
-- Sir Ernest Gowers

------------------------------------------------------------------------------
Download Intel® Parallel Studio Eval
Try the new software tools for yourself. Speed compiling, find bugs
proactively, and fine-tune applications for parallel performance.
See why Intel Parallel Studio got high marks during beta.
http://p.sf.net/sfu/intel-sw-dev
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users