Nabble - quantlib-users

Constructing USD Swaption Vol Cube

2009-11-24T21:48:52Z

Hello everyone,

I am trying to use qlswaptionvolcube1 to construct a cube within excel. This is how I set up the object in excel:

ATMVolStructure - =qlswaptionVTSmatrix
SwapIndexBase - =qlswapindex (referenced from swap curve ibor index, tenor 10Y)
ShortSwapIndexBase - =qlswapindex (referenced from same swap curve ibor index, tenor 2Y)
VegaWeightedSmileFit = TRUE
Guess - (I have no idea what type of parameters go here - any clarification would be greatly appreciated)
IsFixed - FALSE
IsATMCalibrated - TRUE
EndCriteria - =qlendcriteria
OptMethod - =qlLevenbergMarquardt

However, in the process of selecting some of the items through the excel formula pop up window, something seems to cause excel to suddenly crash. I've tried setting up the object at least 25 times, and each time results in a crash. I am currently using excel 2007 (which may be the source of the problem) and QL-XL version 0.9.6. Has anyone else had this issue before, and if so, do you know of any ways to circumvent the issue?

Furthermore, is there a better way of constructing the swaption vol surface/skews outside of the cube? The market data that I have available spans 1M,3M,6M,1Y,2Y, and 5Y expiries in conjunction with 2Y,5Y,10Y, and 30Y tenors. 1Y and further expiries have skew data out to +/- 200 bp, while for any shorter expires I have to use SABR calibrated to the available market data to extrapolate volatilites beyond +/- 75 bp. I am looking for the cleanest way to approximate specific points on the vol surface (i.e. 2.5M x 6.75Y ATM+100 bp payer), and as far as I know, the calibrated cube is the simplest way to interpolate these points.

I apologize in advance if this has been discussed in a post somewhere on a message board, but my searches did not come up with any results.

Thanks,

Mike

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is out of the office.

2009-11-24T13:05:50Z

I will be out of the office starting 11/20/2009 and will not return
until 12/08/2009.

I will respond to your message when I return.

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Floating rate bond. How to find fixing?

2009-11-24T12:09:57Z

Dear QuantLib users

I am sorry for this financial newbie question but I hope you can help me out! Inspired by the Bonds example and the bonds file in the test suite, I am trying to price a plain floating rate bond. I have a euro swap zero coup curve that I use as argument along with the specs for the bond. From the bonds test suite file I call this “plain” since I use the same curve for forecasting and discounting.

First of all I am uncertain about the validity of this approach, especially the step below where I use the euro swap zero coupon curve to construct a euribor index. It seems to me that one can only get around constructing a floating rate bond with some Ibor Index…

Second, I get with the present code an error saying: What() is:Missing Euribor1Y Actual/360 fixing for October 16th, 2009. I guess some how this is related to the present coupon, but being a bond newbie I am not sure. Now, should I expect this error and how do I come around. I have found the ->addFixing, but how can I know what date QL will be missing? And what rate should I use? The 1 Year Euro Swap Zero Coup at that date?

I have pasted the code below; since I am compiling this for Matlab, some of the code below is not purely intended for QL. In comments I have written the value of the different variables after the have been constructed. The function is intended for pricing a scenario of spreads and zero coupons I get from Matlab, that is the reason for the loop in the end.

I would of course also be grateful for any comments on my QL coding, since I am very new to this incredible library and its “coding principles”.

Thank you all very much in advance.

Best regards, Peter

#include <mex.h>

#include <ql/quantlib.hpp>

#include <iostream>

#include <iomanip>

#include <asu_matlab_functions.h>

#include <sstream>

using namespace QuantLib;

void mexFunction( int nlhs, mxArray *plhs[], int nrhs, const mxArray *prhs[])

{

Calendar calendar = TARGET();

Date today((long int)mxGetScalar(prhs[0])-693960);

today = calendar.adjust(today); // 40142

Settings::instance().evaluationDate() = today;

Natural settlementDays = (Natural)mxGetScalar(prhs[1]); // 3

Date settlementDate = calendar.advance(today,settlementDays,Days); // 40147

Natural fixingDays = 3;

Date issueDate((long int)mxGetScalar(prhs[2])-693960);

issueDate = calendar.adjust(issueDate); // 39742

Date maturityDate((long int)mxGetScalar(prhs[3])-693960);

maturityDate = calendar.adjust(maturityDate); // 41933

int freq = (int) mxGetScalar(prhs[4]);

Period iPer;

Period iPerLibor;

switch (freq)

{

case 1 :

iPer = Period(Annual);

iPerLibor = Period(1,Years);

break;

case 2 :

iPer = Period(Semiannual);

iPerLibor = Period(6,Months);

break;

case 3 :

iPer = Period(EveryFourthMonth);

iPerLibor = Period(4,Months);

break;

case 4 :

iPer = Period(Quarterly);

iPerLibor = Period(3,Months);

break;

case 6 :

iPer = Period(Bimonthly);

iPerLibor = Period(2,Months);

break;

case 12 :

iPer = Period(Monthly);

iPerLibor = Period(1,Months);

break;

default :

mexErrMsgIdAndTxt("ASUToolbox:floatingbond","Frequency should be either 1 (annual), 2 (semi-annual), 3 (every fourth month), 4 (quarterly), 6 (bimonthly) or 12 (monthly).");

}

// iPer 1 Years

// iPerLibor 1 Years

mwSize numberOfCurvePoints = mxGetNumberOfElements(prhs[5]);

mwSize curve_rows = mxGetM(prhs[6]);

mwSize curve_cols = mxGetN(prhs[6]);

if (numberOfCurvePoints!=curve_cols)

mexErrMsgIdAndTxt("ASUToolbox:floatingbond","Number of curvepoints and values must be the same.");

mwSize numberOfSpreads = mxGetNumberOfElements(prhs[7]);

double *iSpreads = mxGetPr(prhs[6]);

if (numberOfSpreads!=curve_rows)

mexErrMsgIdAndTxt("ASUToolbox:floatingbond","Number of curvevalues and spreads must be the same.");

double *CurvePoints = mxGetPr(prhs[5]);

std::vector<Period> iPeriods;

for (mwSize i=0; i<numberOfCurvePoints; i++)

{

if (CurvePoints[i]<1) iPeriods.push_back(((int) (CurvePoints[i]*12))*Months);

else iPeriods.push_back(((int) CurvePoints[i])*Years);

}

// iPeriods 3 Months, 6 Months, 1 Years, 2 Years, 3 Years, 5 Years, 7 Years, 10 Years, 20 Years, 30 // Years

double tolerance = 1.0e-15;

DayCounter zcBondsDayCounter = Actual365Fixed();

std::vector<boost::shared_ptr<SimpleQuote> > iTheQuotes;

std::vector<boost::shared_ptr<RateHelper> > iTheCurve;

for (mwSize j=0; j<numberOfCurvePoints; j++)

{

boost::shared_ptr<SimpleQuote> iRate(new SimpleQuote((Rate) 0.0));

iTheQuotes.push_back(iRate);

boost::shared_ptr<RateHelper> iPoint(

new DepositRateHelper(

Handle<Quote>(iRate),

iPeriods[j],

fixingDays,

calendar,

ModifiedFollowing,

true,

zcBondsDayCounter));

iTheCurve.push_back(iPoint);

}

DayCounter termStructureDayCounter = ActualActual(ActualActual::ISDA);

boost::shared_ptr<YieldTermStructure> swapTermStructure(

new PiecewiseYieldCurve<Discount,LogLinear>(

settlementDate, iTheCurve,

termStructureDayCounter,

tolerance));

RelinkableHandle<YieldTermStructure> discountingTermStructure;

RelinkableHandle<YieldTermStructure> forecastingTermStructure;

discountingTermStructure.linkTo(swapTermStructure);

forecastingTermStructure.linkTo(swapTermStructure);

boost::shared_ptr<IborIndex> index(new Euribor(iPerLibor, forecastingTermStructure));

//index->addFixing(Date(16, October, 2009),0.02);

Schedule floatingBondSchedule(issueDate,

maturityDate,

iPer,

Germany(Germany::Settlement),

Unadjusted, Unadjusted, DateGeneration::Backward, false);

FloatingRateBond floatingRateBond(

settlementDays,

Real(100.0),

floatingBondSchedule,

index,

Actual360(),

ModifiedFollowing,

fixingDays,

// Gearings

std::vector<Real>(1, 1.0),

// Spreads

std::vector<Rate>(1, 0.0),

// Caps

std::vector<Rate>(),

// Floors

std::vector<Rate>(),

// Fixing in arrears

false,

Real(100.0),

Date());

boost::shared_ptr<PricingEngine> bondEngine(

new DiscountingBondEngine(discountingTermStructure));

floatingRateBond.setPricingEngine(bondEngine);

boost::shared_ptr<IborCouponPricer> pricer(

new BlackIborCouponPricer(Handle<OptionletVolatilityStructure>()));

setCouponPricer(floatingRateBond.cashflows(),pricer);

plhs[0] = mxCreateDoubleMatrix(curve_rows,1,mxREAL);

double *dirtyMatrix = mxGetPr(plhs[0]);

for (mwSize i=0; i<curve_rows; i++)

{

for (mwSize j=0; j<numberOfCurvePoints; j++)

{

iTheQuotes[j]->setValue((Rate)CurveValues[i+j*curve_rows]);

}

// The curve now has the following values:

// 0.00726362845472265

// 0.0100644668047577

// 0.0120480471730201

// 0.0171903849135268

// 0.0215856363845785

// 0.0278534962670635

// 0.0320699648771060

// 0.0361526048810217

// 0.0419715341115639

// 0.0394774761552008

dirtyMatrix[i] = floatingRateBond.dirtyPrice();

}

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is out of the office.

2009-11-24T02:00:49Z

mc for quanto interest rate derivatives

2009-11-24T01:25:27Z

Hi all,

is there in Quantlib something already done for pricing quanto option on interest rate, preferably through a montecarlo engine?

So far I didn’t find anything, but my knowledge of quantlib is still limited. If not, do you have any suggestion on where to start or which classes can be easily adapted? Thanks a lot.

Regards,

Ivan

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Re: Correct Use of SwaptionVolCube Classes

2009-11-20T10:38:49Z

On Fri, Nov 20, 2009 at 3:45 PM, Peter Caspers <peter.caspers@...> wrote:
> Hi, what is the correct use of shortSwapIndexBase and swapIndexBase in the
> swaption volatility cube classes?
> For swap lenghts leq the tenor of the short index this index is used to
> calculate atm, for all longer tenors the other index is used (no matter
> what tenor is specified for this)?
> Is that all one has to keep in mind or is there more to these two indices?

yes, that's all. It allows to take into account that 1Y swap are vs 3M
Euribor, while longer swaps are vs 6M Euribor

ciao -- Nando

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Re: SABR Model Example

2009-11-20T10:35:26Z

On Fri, Nov 20, 2009 at 2:32 PM, Alexander Lotter
<alexander.lotter@...> wrote:
> I've found some sabr-classes in QuantLib, but not much in documentation and
> haven't found any example.
>
> Is it possible to calibrate sabr-parameter and create vola curves using this
> classes (termstructures -> volatility -> sabr and experimental ->
> sabrvolsurface)?
>
> It would be great if there is some example how to use the model in QuantLib.

the SABR function and interpolation class needs probably little
documentation if you're familiar with SABR

the _experimental_ classes belongs to a new design I tackled more then
one year ago, and was not able to finalize it, even if I would love to
work on it. They are concerned about getting rid of the idea of vol
cube, recognizing that what actually makes sense is stacked
independent surfaces, with each surface having few sparse independent
smiles on the top of an at-the-money back-bone vol curve.

These swaption classes are 80% finished, thanks to being quoted with
floating smile. The cap classes are harder because of sticky smile.
They should be finalized and then one should create backward
compatible adapters in order to use them in the rest of QuantLib

ciao -- Nando

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Correct Use of SwaptionVolCube Classes

2009-11-20T06:45:04Z

Hi, what is the correct use of shortSwapIndexBase and swapIndexBase in the
swaption volatility cube classes?
For swap lenghts leq the tenor of the short index this index is used to
calculate atm, for all longer tenors the other index is used (no matter
what tenor is specified for this)?
Is that all one has to keep in mind or is there more to these two indices?
Thank you a lot, best regards, Peter
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Re: Heston model - Monte Carlo simulation

2009-11-20T05:50:02Z

On Tue, 2009-11-17 at 03:24 -0800, gbogaert wrote:
> Thank you for your advice. Could you give more detailed on the used of the
> MultiPath Generator? Is it not used for multiple assets?

Not only that. If you pass it the Heston model, it will generate
MultiPaths with two components. The first will be the path generated for
the underlying and the second the one for the volatility.

> In my case I have one asset. Based on the test-suite, I tried the
> PathGenerator class. From what I understood, a path is generated each time
> that generator.next() is called, isn't it? I called it several times
> (50,000x) and took the last value of the sample with sample.value.back() for
> each generation. I am then surprised that after relaunching my program
> several times I always get the same values and average.

That's because you're always feeding the generator the same seed:

> BigNatural seed = 42;
> [...]
> rsg_type rsg = PseudoRandom::make_sequence_generator(timeSteps, seed);

If you want your program to use different feeds each time, set the seed
to 0. But that will mean you might be unable to reproduce errors if
they arised.

Luigi

--

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-- Gilbert K. Chesterton

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SABR Model Example

2009-11-20T05:32:10Z

Dear all,

I've found some sabr-classes in QuantLib, but not much in documentation and haven't found any example.

Is it possible to calibrate sabr-parameter and create vola curves using this classes (termstructures -> volatility -> sabr and experimental -> sabrvolsurface)?

It would be great if there is some example how to use the model in QuantLib.

Cheers

Alexander

Re: YieldCurve from discount factors (2)

2009-11-19T06:39:47Z

Sorry, I did not see that QL uses the frequency passed in input for the
calculation of the parrate, i.e. the formula is correct and is

ParRate = (DF_start - DF_end) * frequency / \SUM(DF_i),

This is equivalent to my formula if (t_i - t_{i-1}) = 1/frequency (as it
should for a "normal" swap :-) )

Basically, you are evaluating a rate for a 1 year period that accrues the
same as the 8-day period:

R * t * DF = 0.50251256281407079% * 1 * 0.995 = 22.6131% * 0.022222222 *
0.995

Regards,

Giorgio Pazmandi

> -----Original Message-----
> From: Giorgio Pazmandi [mailto:g.pazmandi@...]
> Sent: giovedì, 19. novembre 2009 10:58
> To: 'Cliffy'; quantlib-users@...
> Subject: Re: [Quantlib-users] YieldCurve from discount factors
>
> Hi Cliffy, the par rate is calculated in QL with the formula
> ParRate = (DF_start - DF_end) / \SUM(DF_i) = (1 - 0.995) / (0.995) =
> 0.0050251256281407079
>
> Maybe I'm wrong, but I would have expected:
> ParRate = (DF_start - DF_end) / \SUM(DF_i * (T_i - T_{i-1})) = (1 -
> 0.995) /
> (0.995 * 0.02222222) = 22.6131%
>
>
> If you simply wanted to evaluate a zero rate (instead of the par rate)
> the
> call would be, for example:
> r2 = refTermStructure->zeroRate(QuantLib::Date(1, October, 2004),
> termStructureDayCounterX, Simple, Annual, true);
> wich also gives 22.6131%
>
>
> Hope that helps
>
> Best regards,
>
> Giorgio
>
>
> > -----Original Message-----
> > From: Cliffy [mailto:cfhgtwn@...]
> > Sent: mercoledì, 18. novembre 2009 21:02
> > To: quantlib-users@...
> > Subject: Re: [Quantlib-users] YieldCurve from discount factors
> >
> >
> > Hi, I am new to quantlib, read this post and out of curiosity want to
> > try it
> > out.
> > I thought the usage of "InterpolatedDiscountCurve" is to provide a
> set
> > of
> > "discount factors" and
> > be able to calculate par rates on the curve.
> >
> > I use a simple unrealistic discount curve (to 30 days) -
> >
> > Date Disc factor
> >
> > Sep 23 1
> > Oct 1 0.995
> > Nov 3 0.992
> >
> > try to calculate par rate as of Oct 1, I got
> >
> > 0.0050251256281407079
> >
> > it seemd to be too small, shouldn't be around 20%??
> >
> > here are the codes,
> >
> > vector<Date> dates;
> > vector<DiscountFactor> rates;
> > vector<Date> datesIn;
> >
> > DayCounter termStructureDayCounterX = Actual360();;
> > Calendar calendarX = TARGET();
> >
> > Date settlementDateX(22, September, 2004);
> > Date d1 = calendarX.advance(settlementDateX, 1,Days);
> > dates.push_back(d1);
> > d1 = calendarX.advance(settlementDateX, 7,Days);
> > dates.push_back(d1);
> > d1 = calendarX.advance(settlementDateX, 30,Days);
> > dates.push_back(d1);
> > Rate r1 = 1;
> > rates.push_back(r1);
> > r1 = 0.995;
> > rates.push_back(r1);
> > r1 = 0.992;
> > rates.push_back(r1);
> >
> > Handle<YieldTermStructure>
> > refTermStructure(boost::shared_ptr<YieldTermStructure>(
> > new InterpolatedDiscountCurve<LogLinear>(dates, rates,
> > termStructureDayCounterX)));
> >
> > d1 = calendarX.advance(settlementDateX, 1,Days);
> > datesIn.push_back(d1);
> > d1 = calendarX.advance(settlementDateX, 7,Days);
> > datesIn.push_back(d1);
> >
> > Rate r2;
> > r2 = refTermStructure->parRate(datesIn,Annual,true);
> >
> > cout << r2; // r2 = 0.0050251256281407079
> >
> > What did I do wrong here??
> >
> > Regards,
> >
> > Cliff
> >
> > --
> > View this message in context: http://old.nabble.com/YieldCurve-from-
> > discount-factors-tp26375800p26414696.html
> > Sent from the quantlib-users mailing list archive at Nabble.com.
> >
> >
> > ---------------------------------------------------------------------
> --
> > -------
> > Let Crystal Reports handle the reporting - Free Crystal Reports 2008
> > 30-Day
> > trial. Simplify your report design, integration and deployment - and
> > focus on
> > what you do best, core application coding. Discover what's new with
> > Crystal Reports now. http://p.sf.net/sfu/bobj-july
> > _______________________________________________
> > QuantLib-users mailing list
> > QuantLib-users@...
> > https://lists.sourceforge.net/lists/listinfo/quantlib-users
>
>
> -----------------------------------------------------------------------
> -------
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> 30-Day
> trial. Simplify your report design, integration and deployment - and
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> what you do best, core application coding. Discover what's new with
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Re: Why inflation zero floor prices to zero

2009-11-19T03:27:35Z

I think that you are reading the mx the wrong way round: there are 6 strikes and 7 maturities, so I think you are looking at different strikes for the 5Y maturity. However, your points are still valid.

In the file the values are in bps. If you look in interpolatedyoyoptionletstripper.hpp in the function:

template <class Interpolator1D>
InterpolatedYoYOptionletStripper<Interpolator1D>::
ObjectiveFunction::ObjectiveFunction

you will see .withNominal(10000) which does the scaling back to what you are expecting. OK this is rather obscure, but it is in /experimental . The scaling should probably be before input rather than deep in the code.

The data in the test is from long ago and far away ... inflation expectations have moved a lot in the past two years. ~2007, i.e. pre-crisis, EU expected inflation was 2%~3% (see the data yoyEUrates higher up).

Usual disclaimers apply.

From: Pomarico Francesco Ivan <francesco.pomarico@...>
To: Chris Kenyon <chris.kenyon@...>; quantlib-users@...
Sent: Thu, November 19, 2009 10:24:31 AM
Subject: RE: Why inflation zero floor prices to zero

Thanks again Chris,

I got another question on inflation.

I am looking at the file inflationvolatility.cpp in the testsuite and I don’t get what sort of cap and floor prices are used. Maybe there is some convention I am not aware of.

Looking on BBG quotes are in basis points from the order of tenths of bps to some hundredths of bps.

For example looking at price of zero floors on BBG quotes are from 68 bps up to 446 bps, so I expect to see prices in a range from 0.0068 up to 0.0446, but in the Quantlib inflationvolatility.cpp I see 0.851, 2.236, 3.935, 7.885, 17.92 and 47.625.

OK, prices are from different days, but magnitude has no sense for me. What did I miss?

Regards,

Ivan

From: Chris Kenyon [mailto:chris.kenyon@...]
Sent: Wednesday, November 18, 2009 5:29 PM
To: quantlib-users@... ; Pomarico Francesco Ivan
Subject: Re: Why inflation zero floor prices to zero

Hi Ivan,

your observations are exactly correct:
1) in a Black world a zero floor has no value because you can't get there. A YoYInflationBlackCapFloorEngine implements this so, yes, you always get zero NPV.
2) If you use a displaced diffusion then, yes, you can see value in a zero floor. This is implemented in the UnitDisplacedBlackYoYInflationCouponPricer for coupons and there is an analogous engine for instruments.
3) Alternatively you can use a Normal process and use the BachelierYoYInflationCouponPricer for coupons (or the instrument one) and you will again see value in a zero floor.

Either way MAKE VERY SURE that you have the correct yoy inflation volatility for the pricing engine! Don't use a Black vol in a UnitDisplaced pricer/engine or you will have incorrect results. If you are starting from cap/floor prices on BBG (or wherever) you have to strip with the same type of pricer that you then price with. Of course, there is a smile in the market data on BBG :-) so ...

Usual disclaimers apply.

Best,
Chris

Re: Why inflation zero floor prices to zero

2009-11-19T02:24:31Z

Thanks again Chris,

I got another question on inflation.

I am looking at the file inflationvolatility.cpp in the testsuite and I don’t get what sort of cap and floor prices are used. Maybe there is some convention I am not aware of.

Looking on BBG quotes are in basis points from the order of tenths of bps to some hundredths of bps.

OK, prices are from different days, but magnitude has no sense for me. What did I miss?

Regards,

Ivan

From: Chris Kenyon [mailto:chris.kenyon@...]
Sent: Wednesday, November 18, 2009 5:29 PM
To: quantlib-users@...; Pomarico Francesco Ivan
Subject: Re: Why inflation zero floor prices to zero

Re: YieldCurve from discount factors

2009-11-19T01:57:39Z

Hi Cliffy, the par rate is calculated in QL with the formula
ParRate = (DF_start - DF_end) / \SUM(DF_i) = (1 - 0.995) / (0.995) =
0.0050251256281407079

Maybe I'm wrong, but I would have expected:
ParRate = (DF_start - DF_end) / \SUM(DF_i * (T_i - T_{i-1})) = (1 - 0.995) /
(0.995 * 0.02222222) = 22.6131%

If you simply wanted to evaluate a zero rate (instead of the par rate) the
call would be, for example:
r2 = refTermStructure->zeroRate(QuantLib::Date(1, October, 2004),
termStructureDayCounterX, Simple, Annual, true);
wich also gives 22.6131%

Hope that helps

Best regards,

Giorgio

> -----Original Message-----
> From: Cliffy [mailto:cfhgtwn@...]
> Sent: mercoledì, 18. novembre 2009 21:02
> To: quantlib-users@...
> Subject: Re: [Quantlib-users] YieldCurve from discount factors
>
>
> Hi, I am new to quantlib, read this post and out of curiosity want to
> try it
> out.
> I thought the usage of "InterpolatedDiscountCurve" is to provide a set
> of
> "discount factors" and
> be able to calculate par rates on the curve.
>
> I use a simple unrealistic discount curve (to 30 days) -
>
> Date Disc factor
>
> Sep 23 1
> Oct 1 0.995
> Nov 3 0.992
>
> try to calculate par rate as of Oct 1, I got
>
> 0.0050251256281407079
>
> it seemd to be too small, shouldn't be around 20%??
>
> here are the codes,
>
> vector<Date> dates;
> vector<DiscountFactor> rates;
> vector<Date> datesIn;
>
> DayCounter termStructureDayCounterX = Actual360();;
> Calendar calendarX = TARGET();
>
> Date settlementDateX(22, September, 2004);
> Date d1 = calendarX.advance(settlementDateX, 1,Days);
> dates.push_back(d1);
> d1 = calendarX.advance(settlementDateX, 7,Days);
> dates.push_back(d1);
> d1 = calendarX.advance(settlementDateX, 30,Days);
> dates.push_back(d1);
> Rate r1 = 1;
> rates.push_back(r1);
> r1 = 0.995;
> rates.push_back(r1);
> r1 = 0.992;
> rates.push_back(r1);
>
> Handle<YieldTermStructure>
> refTermStructure(boost::shared_ptr<YieldTermStructure>(
> new InterpolatedDiscountCurve<LogLinear>(dates, rates,
> termStructureDayCounterX)));
>
> d1 = calendarX.advance(settlementDateX, 1,Days);
> datesIn.push_back(d1);
> d1 = calendarX.advance(settlementDateX, 7,Days);
> datesIn.push_back(d1);
>
> Rate r2;
> r2 = refTermStructure->parRate(datesIn,Annual,true);
>
> cout << r2; // r2 = 0.0050251256281407079
>
> What did I do wrong here??
>
> Regards,
>
> Cliff
>
> --
> View this message in context: http://old.nabble.com/YieldCurve-from-
> discount-factors-tp26375800p26414696.html
> Sent from the quantlib-users mailing list archive at Nabble.com.
>
>
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> https://lists.sourceforge.net/lists/listinfo/quantlib-users

Another question about InterpolatedDiscountCurve

2009-11-19T00:07:14Z

Hi everyone

I’m working on an old release version of Quantlib (0.9.7)

I had recently a problem with the interpolatedDiscountCurve class.

I have an economic scenario generator which gives me as pricecurve for a (very) extreme scenario

1	0,995
6	0,4
12	0,04
24	0,02
36	0,001
60	0,00003
120	0,0000008

(Column 1 is the term (in months), column 2 is the price.

I know, it gives me (very (did-I-say-very?)) important rates …

When I try to associate these points with a cubicsplineDiscount Curve, it works, BUT when I try to interpolate between for example 12M and 24M, I obtain negative prices. Is it normal?

I know that this is due to the facts that

* the scenario is very extreme

* the loops created by the splines are very large => the loop passes under zero

But wouldn’t it be necessary to limit the prices to zero?

Tks for your answer

David



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Re: building on Fedora 11

2009-11-18T15:04:32Z

On Wed, 2009-11-18 at 17:16 -0500, Chuck Swiger wrote:

> On Wed, 2009-11-18 at 11:21 -0500, Chuck Swiger wrote:
> > On Wed, 2009-11-18 at 11:01 +0100, Luigi Ballabio wrote:
> > > On Mon, 2009-11-16 at 15:42 -0500, Chuck Swiger wrote:
> > > > Got QuantLib-SWIG to build and Python runs the examples ok but Perl stil
> > > > segfaults.
> > >
> > > Yes, this has bugged me for a long time. Do you think you can find some
> > > time to try and debug it? (Or to reduce the error to a smaller,
> > > self-contained example we can send to the SWIG mailing list?)
>
> Ok - There seems to be a problem with, what you my call, 'embedded instantiation'. Doing stuff like this:
>
> my($exercise) = new QuantLib::EuropeanExercise(
> new QuantLib::Date(17,$QuantLib::May, 1999));
>
> or:
>
> $inst = new $Class1 ( new $Class2 )
>
> By removing all of those, and fixing some function calls, it runs and produces the two answers, /then/ segfaults ;)
>

and it'll do lots of useful calculations before the ungraceful exit:

--Chuck

------------------------------------------

...

# removed $process from the following args
my($option) = new QuantLib::VanillaOption($payoff, $exercise);

# and added it here
$option->setPricingEngine(new QuantLib::AnalyticEuropeanEngine($process));

%option_prices = ();

for ($price=7.5; $price<8.5; $price+=0.05) {
$underlying->setValue($price);
printf("Underlying: %4.2f \tanalytic: %f\n", $price,$option->NPV());
$option_prices{$price} = $option->NPV();
}

print "\nCalculating IV from the option values\n";
for ($price=7.5; $price<8.5; $price+=0.05) {
$underlying->setValue($price);
printf("Underlying: %4.2f \tOption Price: %f \tVolatility: %f\n",$underlying->value(),$option_prices{$price},$option->impliedVolatility($option_prices{$price},$process))
}

print "\n";
$option->setPricingEngine(new QuantLib::IntegralEngine($process));
print "integral: ", $option->NPV(), "\n";

print "\n\nPrepare to crash!\n";

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Re: building on Fedora 11

2009-11-18T14:16:57Z

On Wed, 2009-11-18 at 11:21 -0500, Chuck Swiger wrote:
> On Wed, 2009-11-18 at 11:01 +0100, Luigi Ballabio wrote:
> > On Mon, 2009-11-16 at 15:42 -0500, Chuck Swiger wrote:
> > > Got QuantLib-SWIG to build and Python runs the examples ok but Perl stil
> > > segfaults.
> >
> > Yes, this has bugged me for a long time. Do you think you can find some
> > time to try and debug it? (Or to reduce the error to a smaller,
> > self-contained example we can send to the SWIG mailing list?)

Ok - There seems to be a problem with, what you my call, 'embedded instantiation'. Doing stuff like this:

my($exercise) = new QuantLib::EuropeanExercise(
new QuantLib::Date(17,$QuantLib::May, 1999));

or:

$inst = new $Class1 ( new $Class2 )

By removing all of those, and fixing some function calls, it runs and produces the two answers, /then/ segfaults ;)

--Chuck

----------------------------------

[chuck@linux7 examples]$ ./european-option2.pl
analytic: 0.981572157109905
integral: 0.981572233014292
Segmentation fault

[chuck@linux7 examples]$ cat ./european-option2.pl
#!/usr/bin/perl

use QuantLib;
# use strict;
#
my($todaysDate) = new QuantLib::Date(15, $QuantLib::May, 1998);
QuantLib::Settings::instance()->setEvaluationDate($todaysDate);
my($settlementDate) = new QuantLib::Date(17, $QuantLib::May, 1998);

my($count1) = new QuantLib::Actual365Fixed;
my($riskFreeRate) = new QuantLib::FlatForward($settlementDate,
0.05,
$count1);

my($Ex_Date) = new QuantLib::Date(17,$QuantLib::May, 1999);
my($exercise) = new QuantLib::EuropeanExercise(
$Ex_Date);
my($payoff) = new QuantLib::PlainVanillaPayoff($QuantLib::Option::Put, 8.0);

my($underlying) = new QuantLib::SimpleQuote(7.0);

my($cal) = new QuantLib::TARGET;
my($count2) = new QuantLib::Actual365Fixed;
my($volatility) = new QuantLib::BlackConstantVol($todaysDate,
$cal,
0.10,
$count2);

my($count3) = new QuantLib::Actual365Fixed;
my($dividendYield) = new QuantLib::FlatForward($settlementDate,
0.05,
$count3);

my($quote) = new QuantLib::QuoteHandle($underlying);
my($dividendYieldHandle) = new QuantLib::YieldTermStructureHandle($dividendYield);
my($riskFreeRateHandle) = new QuantLib::YieldTermStructureHandle($riskFreeRate);
my($volatilityHandle) = new QuantLib::BlackVolTermStructureHandle($volatility);
my($process) = new QuantLib::BlackScholesMertonProcess(
$quote,
$dividendYieldHandle,
$riskFreeRateHandle,
$volatilityHandle);

# removed $process from the following args
my($option) = new QuantLib::VanillaOption($payoff, $exercise);

# and added it here
$option->setPricingEngine(new QuantLib::AnalyticEuropeanEngine($process));
print "analytic: ", $option->NPV(), "\n";

$option->setPricingEngine(new QuantLib::IntegralEngine($process));
print "integral: ", $option->NPV(), "\n";

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Re: YieldCurve from discount factors

2009-11-18T12:02:07Z

Hi, I am new to quantlib, read this post and out of curiosity want to try it out.
I thought the usage of "InterpolatedDiscountCurve" is to provide a set of "discount factors" and
be able to calculate par rates on the curve.

I use a simple unrealistic discount curve (to 30 days) -

Date Disc factor

Sep 23 1
Oct 1 0.995
Nov 3 0.992

try to calculate par rate as of Oct 1, I got

0.0050251256281407079

it seemd to be too small, shouldn't be around 20%??

here are the codes,

vector<Date> dates;
vector<DiscountFactor> rates;
vector<Date> datesIn;

DayCounter termStructureDayCounterX = Actual360();;
Calendar calendarX = TARGET();

Date settlementDateX(22, September, 2004);
Date d1 = calendarX.advance(settlementDateX, 1,Days);
dates.push_back(d1);
d1 = calendarX.advance(settlementDateX, 7,Days);
dates.push_back(d1);
d1 = calendarX.advance(settlementDateX, 30,Days);
dates.push_back(d1);
Rate r1 = 1;
rates.push_back(r1);
r1 = 0.995;
rates.push_back(r1);
r1 = 0.992;
rates.push_back(r1);

Handle<YieldTermStructure>
refTermStructure(boost::shared_ptr<YieldTermStructure>(
new InterpolatedDiscountCurve<LogLinear>(dates, rates,
termStructureDayCounterX)));

d1 = calendarX.advance(settlementDateX, 1,Days);
datesIn.push_back(d1);
d1 = calendarX.advance(settlementDateX, 7,Days);
datesIn.push_back(d1);

Rate r2;
r2 = refTermStructure->parRate(datesIn,Annual,true);

cout << r2; // r2 = 0.0050251256281407079

What did I do wrong here??

Regards,

Cliff

Re: Why inflation zero floor prices to zero

2009-11-18T08:28:33Z

Re: building on Fedora 11

2009-11-18T08:21:56Z

On Wed, 2009-11-18 at 11:01 +0100, Luigi Ballabio wrote:

> On Mon, 2009-11-16 at 15:42 -0500, Chuck Swiger wrote:
> > Got QuantLib-SWIG to build and Python runs the examples ok but Perl stil
> > segfaults.
>
> Yes, this has bugged me for a long time. Do you think you can find some
> time to try and debug it? (Or to reduce the error to a smaller,
> self-contained example we can send to the SWIG mailing list?)
>
> Luigi
>
>

Running perl in debug mode step-by-step it fails in the SWIG Perl
example (european-option.pl) on the $volatility line. Will look further
too.
--Chuck

------------------------------------------------------

[chuck@linux7 examples]$ strace -o error-2 perl -de 0

Loading DB routines from perl5db.pl version 1.3
Editor support available.

Enter h or `h h' for help, or `man perldebug' for more help.

main::(-e:1): 0
DB<1> use QuantLib;

DB<2> $todaysDate = new QuantLib::Date(15, $QuantLib::May, 1998);

DB<3> QuantLib::Settings::instance()->setEvaluationDate($todaysDate);

DB<4> $settlementDate = new QuantLib::Date(17, $QuantLib::May, 1998);

DB<5> $cal1 = new QuantLib::Actual365Fixed;

DB<6> $riskFreeRate = new QuantLib::FlatForward($settlementDate,0.05,$cal1);

DB<7> $exercise = new QuantLib::EuropeanExercise(new QuantLib::Date(17,$QuantLib::May, 1999));

DB<8> $payoff = new QuantLib::PlainVanillaPayoff($QuantLib::Option::Put, 8.0);

DB<9> $underlying = new QuantLib::SimpleQuote(7.0);

DB<10> $cal2 = new QuantLib::Actual365Fixed;

<typo line>

DB<12> $volatility = new QuantLib::BlackConstantVol($todaysDate, new QuantLib::TARGET, 0.10, $
cal2);
Signal SEGV at /usr/local/lib/perl5/site_perl/5.10.0/i386-linux-thread-multi/QuantLib.pm line 283
1
QuantLib::TARGET::DESTROY('QuantLib::TARGET=HASH(0xa8deafc)') called at /usr/lib/perl5/5.
10.0/perl5db.pl line 641
eval {...} called at /usr/lib/perl5/5.10.0/perl5db.pl line 641
DB::eval called at /usr/lib/perl5/5.10.0/perl5db.pl line 3434
DB::DB called at -e line 1

tail of strace output:

stat64("/usr/lib/perl5/5.10.0/i386-linux-thread-multi/List/Util.pm", {st_mode=S_IFREG|0644, st_size=6698, ...}) = 0
open("/usr/lib/perl5/5.10.0/i386-linux-thread-multi/List/Util.pm", O_RDONLY|O_LARGEFILE) = 6
ioctl(6, SNDCTL_TMR_TIMEBASE or TCGETS, 0xbf861af8) = -1 ENOTTY (Inappropriate ioctl for device)
_llseek(6, 0, [0], SEEK_CUR) = 0
read(6, "# List::Util.pm\n#\n# Copyright (c)"..., 4096) = 4096
_llseek(6, 1066, [1066], SEEK_SET) = 0
_llseek(6, 0, [1066], SEEK_CUR) = 0
close(6) = 0
stat64("/usr/lib/perl5/5.10.0/i386-linux-thread-multi/auto/List/Util/Util.so", {st_mode=S_IFREG|0755, st_size=49080, ...}) = 0
stat64("/usr/lib/perl5/5.10.0/i386-linux-thread-multi/auto/List/Util/Util.bs", 0x9cec0c0) = -1 ENOENT (No such file or directory)
open("/usr/lib/perl5/5.10.0/i386-linux-thread-multi/auto/List/Util/Util.so", O_RDONLY) = 6
read(6, "\177ELF\1\1\1\0\0\0\0\0\0\0\0\0\3\0\3\0\1\0\0\0\320\33\0\0004\0\0\0\250"..., 512) = 512
fstat64(6, {st_mode=S_IFREG|0755, st_size=49080, ...}) = 0
mmap2(NULL, 51896, PROT_READ|PROT_EXEC, MAP_PRIVATE|MAP_DENYWRITE, 6, 0) = 0x39c000
mmap2(0x3a8000, 4096, PROT_READ|PROT_WRITE, MAP_PRIVATE|MAP_FIXED|MAP_DENYWRITE, 6, 0xb) = 0x3a8000
close(6) = 0
write(5, "Signal SEGV at /usr/local/lib/per"..., 369) = 369
kill(15845, SIGABRT) = 0
--- SIGABRT (Aborted) @ 0 (0) ---
+++ killed by SIGABRT +++

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Why inflation floor prices to zero

2009-11-18T07:53:09Z

Hi all,

I am trying to price inflation cap and floor using YoYInflationBlackCapFloorEngine and there is something not really clear to me.

The NPV of an inflation floor with zero floor rate is always zero whatever volatility and for any term. Of course market quotes are not zero.

I think this is due to applying the Black formula with the forward = I(T)/I(T-1)-1 and strike = floor rate, instead of forward = I(T)/I(T-t) and strike=1+floor rate. In the latter case you can get a non zero npv.

Thanks for your help.

Ivan

Re: building on Fedora 11

2009-11-18T02:01:39Z

On Mon, 2009-11-16 at 15:42 -0500, Chuck Swiger wrote:
> Got QuantLib-SWIG to build and Python runs the examples ok but Perl stil
> segfaults.

Yes, this has bugged me for a long time. Do you think you can find some
time to try and debug it? (Or to reduce the error to a smaller,
self-contained example we can send to the SWIG mailing list?)

Luigi

--

Vin: It's like this fellow I knew in El Paso. One day, he just took
all his clothes off and jumped in a mess of cactus. I asked him that
same question, "Why?"
Calvera: And?
Vin: He said, "It seemed like a good idea at the time."
-- The Magnificent Seven

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Re: WG: VC++2008 / Excel 2003 / QLXL

2009-11-18T01:03:34Z

I compared the Linker Command Line Strings for both versions. Indeed in the
vc9 project file, no manifest file is generated, in the vc8 file it is
generated.
So, this will be the reason. Perhaps this should be adjusted in one of the
upcoming distributions?
Thank you, best regards
Peter

Nicolai Lassesen
<nlassesen@deloit
te.dk> An
quantlib-users@...
17.11.2009 22:39 et
Kopie

Thema
Re: [Quantlib-users] WG: VC++2008
/ Excel 2003 / QLXL

Peter Caspers <peter.caspers <at> wgzbank.de> writes:

>
>
> interestingly, if I let VC++2008 convert the vc8 project file
> "QuantLibXL_full_vc8" to version 9, it works. So, problem solved. (since
> the source files are exactly the same, there must be some setting in the
> version 9 project file "QuantLibXL_full_vc9", which causes problems?!)

I'm using VC++2008 and by trial and error I discovered that telling the
linker
to generate a manifest file (/MANIFEST) the xll will work

Nicolai

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Re: Export all data required for pricing to a file

2009-11-17T16:02:22Z

Hi Alex,

> Is it possible to populate the trade and market data into ObjectHandler from
> C++, price it, serialize it, and then load the serialized file into excel and
> re-price using excel bindings to quantlib/objecthandler provided by QuantLibXL?

The link I sent you before explains exactly that.

Regards,
Eric

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Re: Export all data required for pricing to a file

2009-11-17T13:46:25Z

Eric Ehlers <eric.ehlers <at> nazcatech.be> writes:

>
> Hi,
>
> On Fri, 2009-11-13 at 21:20 +0000, Alex Farberov wrote:
>
> > I'm wondering if there is an out of the box solution to export all the data
> > required to price a model into a file (csv, xml etc..).
>
> Not in QuantLib, but in QuantLibAddin:
>
> http://quantlib.org/quantlibaddin/serialization.html
>
> The document talks about Excel and C++, but you aren't required to use
> Excel for that, you could use only C++ for both save and load. The
> tutorial includes example XML files.
>
> Regards,
> Eric
>
>

Thanks Eric

Great, QuantLibAddin can indeed serialize ObjectHandler contents to an XML file.

Is it possible to populate the trade and market data into ObjectHandler from
C++, price it, serialize it, and then load the serialized file into excel and
re-price using excel bindings to quantlib/objecthandler provided by QuantLibXL?

There is not much documentation in QuantLibXL project and I can't find any
mention of how to load serialized XML files.

Thanks in advance
Alex

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Re: WG: VC++2008 / Excel 2003 / QLXL

2009-11-17T13:39:54Z

Peter Caspers <peter.caspers <at> wgzbank.de> writes:

>
>
> interestingly, if I let VC++2008 convert the vc8 project file
> "QuantLibXL_full_vc8" to version 9, it works. So, problem solved. (since
> the source files are exactly the same, there must be some setting in the
> version 9 project file "QuantLibXL_full_vc9", which causes problems?!)

I'm using VC++2008 and by trial and error I discovered that telling the linker
to generate a manifest file (/MANIFEST) the xll will work

Nicolai

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CapFloor surfaces

2009-11-17T09:12:39Z

Hi guys,

I'm still learning QuantLib so appologies in advance if this is something trivial. I'm trying to price some caps/floors in python. I've managed to create a list of IborCoupons and an IborIndex for the instrument easily enough. When I try to use the BlackCapFloorEngine the second parameter is a Handle to a OptionletVolatilityStructure (not a CapFloorTermVolCurve). I've been looking at the source and have not yet seen a derived class of OptionletVolatilityStructure which supports a strike/term vol surface (like CapFloorTermVolSurface - which is not even exported to python).

The strange thing is that the CapFloorTermVolCurve is listed in old_volatility.i in the SWIG directory - implying that there's a more recent way to create a strike/term surface (presumably using the OptionletVolatilityStructure Base class) - but the only derived class I've seen so far is the ConstantOptionletVolatility (which is useless as I need a surface). The SpreadedOptionletVolatility class only works if you already have an existing OptionletVolatilityStructure object and the CapletVarianceCurve is deprecated. I don't know what/how to use the StrippedOptionlet class that the comments in the source points to.

How do I go about creating a OptionletVolatilityStructure with strikes/dates for the BlackCapFloorEngine?

Thanks.

WG: VC++2008 / Excel 2003 / QLXL

2009-11-17T08:07:27Z

interestingly, if I let VC++2008 convert the vc8 project file
"QuantLibXL_full_vc8" to version 9, it works. So, problem solved. (since
the source files are exactly the same, there must be some setting in the
version 9 project file "QuantLibXL_full_vc9", which causes problems?!)

----- Weitergeleitet von Peter Caspers/Controlling und Planung/WGZ BANK/DE
am 17.11.2009 17:00 -----

Peter
Caspers/Controlli
ng und An
Planung/WGZ quantlib-users@...
BANK/DE et
Kopie
17.11.2009 14:54
Thema
VC++2008 / Excel 2003 / QLXL

Hi, I compile QL / QLXL 0.9.7 with MSVC++2008 (Boost is 1.37.0). There does
not seem to be any problems. However, the resulting XLL can not be loaded
in Excel 2003 (SP3). I get an error message "not a valid XLL". Did anybody
test this configuration? Does an upgrade of any of the components help
perhaps? Thank you, Peter
------------------------------------------------------------------------------------------------------------------------------------------------------
WGZ BANK AG Westdeutsche Genossenschafts-Zentralbank
Sitz: Düsseldorf, Registergericht: Amtsgericht Düsseldorf, HRB 52363
Vorstand: Werner Böhnke (Vors.), Karl-Heinz Moll, Thomas Ullrich,
Hans-Bernd Wolberg
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VC++2008 / Excel 2003 / QLXL

2009-11-17T05:54:18Z

Hi, I compile QL / QLXL 0.9.7 with MSVC++2008 (Boost is 1.37.0). There does
not seem to be any problems. However, the resulting XLL can not be loaded
in Excel 2003 (SP3). I get an error message "not a valid XLL". Did anybody
test this configuration? Does an upgrade of any of the components help
perhaps? Thank you, Peter
------------------------------------------------------------------------------------------------------------------------------------------------------
WGZ BANK AG Westdeutsche Genossenschafts-Zentralbank
Sitz: Düsseldorf, Registergericht: Amtsgericht Düsseldorf, HRB 52363
Vorstand: Werner Böhnke (Vors.), Karl-Heinz Moll, Thomas Ullrich,
Hans-Bernd Wolberg
Vorsitzender des Aufsichtsrats: Dieter Philipp

Ueber das Internet versandte E-Mails koennen unter fremdem Namen erstellt
oder inhaltlich veraendert werden. Aus diesem Grund sind unsere als E-Mail
verschickten Nachrichten grundsaetzlich keine rechtsverbindlichen
Erklaerungen. Der Inhalt dieser E-Mail samt Anlagen ist vertraulich und u.
U. rechtlich geschuetzt. Der Inhalt ist ausschließlich an einen bestimmten
Empfaenger gerichtet. Eine Weitergabe, die Herstellung von Kopien oder der
sonstige Gebrauch durch Nichtadressaten ist nicht erlaubt.

Messages sent by e-mail can be manipulated by third parties. For this
reason our e-mail messages are generally not legally binding. This
electronic message (including any attachments) contains confidential
information and may be privileged or otherwise protected from disclosure.
The information is intended to be for the use of the intended addressee
only. Please be aware that any copy, distribution or use of the contents of
this message by any other person than the intended addressee is prohibited.

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Re: Heston model - Monte Carlo simulation

2009-11-17T03:24:08Z

Hello Luigi,

Thank you for your advice. Could you give more detailed on the used of the MultiPath Generator? Is it not used for multiple assets?
In my case I have one asset. Based on the test-suite, I tried the PathGenerator class. From what I understood, a path is generated each time that generator.next() is called, isn't it? I called it several times (50,000x) and took the last value of the sample with sample.value.back() for each generation. I am then surprised that after relaunching my program several times I always get the same values and average.

typedef PseudoRandom::rsg_type rsg_type;
typedef PathGenerator<rsg_type>::sample_type sample_type;
BigNatural seed = 42;
Time length = 10;
Size timeSteps = 12;
bool brownianBridge = true;
Handle x0(boost::shared_ptr(new SimpleQuote(100.0)));
Handle<YieldTermStructure> r(flatRate(0.05, Actual360()));
Handle<YieldTermStructure> q(flatRate(0.02, Actual360()));
Handle<BlackVolTermStructure> sigma(flatVol(0.20, Actual360()));
boost::shared_ptr<StochasticProcess1D> process (new BlackScholesMertonProcess(x0,q,r,sigma));
rsg_type rsg = PseudoRandom::make_sequence_generator(timeSteps, seed);
PathGenerator<rsg_type> generator(process, length, timeSteps,rsg, brownianBridge);
for (Size i = 0; i <= 50000; i++){
sample_type sample1 = generator.next();
std::cout << sample1.value.at(j) << "\n";
}

Thank you in advance for your help and time.

For any information, please ask.

Regards,

Gilles

Luigi Ballabio wrote:

On Fri, 2009-11-06 at 18:19 +0100, Bogaert, Gilles wrote:
> I would like to evaluate the Heston model using a Monte Carlo
> simulation and get the values of the paths back, a kind of array [t,
> St], or better to get the average of the paths at certain dates. I
> went through the sources but I don’t see how to use the pricing engine
> for my purpose.

Gilles,
you can use a MultiPathGenerator with a Heston process. The class is
in <ql/methods/montecarlo/multipathgenerator.hpp>.
For an example, look at <test-suite/pathgenerator.cpp> (even though it
doesn't use Heston.) Let me know if you need additional help.

Luigi

--

Prediction is very difficult, especially if it's about the future.
-- Niels Bohr

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Re: YieldCurve from discount factors

2009-11-17T00:44:13Z

On Mon, 2009-11-16 at 14:04 -0800, javit wrote:
> Build two vectors of types Rate and Date. Call them dates and rates. Find the
> rate for that particular date by using your discount curve data. Define a
> day counter (termStructureDayCounter) and a calendar. Initiate an instant of
> the termstructure class as below.
>
> Handle<YieldTermStructure>
> refTermStructure(boost::shared_ptr<YieldTermStructure>(
> new InterpolatedZeroCurve<LogLinear>(dates, rates,
> termStructureDayCounter)));

Or use InterpolatedDiscountCurve.

Luigi

--

Ogden's Law:
The sooner you fall behind, the more time you have to catch up.

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Re: YieldCurve from discount factors

2009-11-16T14:04:06Z

Build two vectors of types Rate and Date. Call them dates and rates. Find the rate for that particular date by using your discount curve data. Define a day counter (termStructureDayCounter) and a calendar. Initiate an instant of the termstructure class as below.

Handle<YieldTermStructure> refTermStructure(boost::shared_ptr<YieldTermStructure>(
new InterpolatedZeroCurve<LogLinear>(dates, rates, termStructureDayCounter)));

To get your discount rate for a particular date, you can use something like this:

refTermStructure->discount(Date(11,July,2010))

You can also use interpolation methods other than LogLinear. Go through the source code, you will see.

Javit

Shuaib Osman wrote:

Hi,

Is there any way in quantlib not to create a yieldcurve from ratehelpers (the usual depo/fra/future/swap ones) but instead to import an existing yield curve (a zero curve that starts today and has every point till 20 years from now). I've tried creating deposit rate helpers for each day but I keep getting the "two instruments have the same maturity" error.

So, in short, I've got all the discount factors - I need to create a yieldcurve object.

Thanks.

Cavit (Javit) Hafizoglu mailto:javit.hafizoglu@suntrust.com

building on Fedora 11

2009-11-16T12:42:16Z

Gang - Just built QuantLib-0.9.9 on Fedora 11 and got everything working
(AFAIK). 'make check' works. One issue was with apr and apr-util in
log4cxx, appearently something with the new libtool-2.2. Solution was to
just download them ready to configure from apr.apache.org.

Got QuantLib-SWIG to build and Python runs the examples ok but Perl stil
segfaults. Since Perl has a nice Finance::Quote modules I'd like to run
QL there ;) As it is I have to grab quotes with perl and crunch the
numbers in Python... There is a pyperl module that allow you to run
perl in python but it has fallen into disrepair and not kept up with
current versions.

--Chuck

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YieldCurve from discount factors

2009-11-16T09:18:27Z

Hi,

Is there any way in quantlib not to create a yieldcurve from ratehelpers (the usual depo/fra/future/swap ones) but instead to import an existing yield curve (a zero curve that starts today and has every point till 20 years from now). I've tried creating deposit rate helpers for each day but I keep getting the "two instruments have the same maturity" error.

So, in short, I've got all the discount factors - I need to create a yieldcurve object.

Thanks.

Re: Heston model - Monte Carlo simulation

2009-11-16T07:43:38Z

On Fri, 2009-11-06 at 18:19 +0100, Bogaert, Gilles wrote:
> I would like to evaluate the Heston model using a Monte Carlo
> simulation and get the values of the paths back, a kind of array [t,
> St], or better to get the average of the paths at certain dates. I
> went through the sources but I don’t see how to use the pricing engine
> for my purpose.

Gilles,
you can use a MultiPathGenerator with a Heston process. The class is
in <ql/methods/montecarlo/multipathgenerator.hpp>.
For an example, look at <test-suite/pathgenerator.cpp> (even though it
doesn't use Heston.) Let me know if you need additional help.

Luigi

--

Prediction is very difficult, especially if it's about the future.
-- Niels Bohr

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