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    Termstructure Spread Functions in Quantlib 1.4: Mauricio Bedoya February 2014

    Uploaded by

    Mauricio Bedoya
    This document describes how to construct term structure objects in Quantlib to model the yield curve using different methods, including flat forward rates, piecewise yield curves, and interpolated spreads. It defines market rates, constructs basic and custom yield term structures, and adds constant and non-constant spreads to the curves. The examples show how to price fixed income instruments by building term structure objects from rate helpers and setting the curves for pricing.

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    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd

    Termstructure Spread Functions in Quantlib 1.4: Mauricio Bedoya February 2014

    Uploaded by

    Mauricio Bedoya
    69 views4 pages
    This document describes how to construct term structure objects in Quantlib to model the yield curve using different methods, including flat forward rates, piecewise yield curves, and interpolated spreads. It defines market rates, constructs basic and custom yield term structures, and adds constant and non-constant spreads to the curves. The examples show how to price fixed income instruments by building term structure objects from rate helpers and setting the curves for pricing.

    Original Title

    Spread Operations

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    This document describes how to construct term structure objects in Quantlib to model the yield curve using different methods, including flat forward rates, piecewise yield curves, and interpolated spreads. It defines market rates, constructs basic and custom yield term structures, and adds constant and non-constant spreads to the curves. The examples show how to price fixed income instruments by building term structure objects from rate helpers and setting the curves for pricing.

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Download as pdf or txt
    69 views4 pages

    Termstructure Spread Functions in Quantlib 1.4: Mauricio Bedoya February 2014

    Uploaded by

    Mauricio Bedoya
    This document describes how to construct term structure objects in Quantlib to model the yield curve using different methods, including flat forward rates, piecewise yield curves, and interpolated spreads. It defines market rates, constructs basic and custom yield term structures, and adds constant and non-constant spreads to the curves. The examples show how to price fixed income instruments by building term structure objects from rate helpers and setting the curves for pricing.

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Download as pdf or txt
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    TermStructure Spread Functions in Quantlib 1.

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    Mauricio Bedoya [email protected] February 2014

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    / mode : c++; tab width : 4 ; i n d e n t tabs mode : n i l ; cb a s i c o f f s e t : 4 / / This example s e t s up a c a l l a b l e f i x e d r a t e bond with a H u l l White p r i c i n g e n g i n e and compares t o Bloomberg s H u l l White p r i c e / y i e l d c a l c u l a t i o n s . / #i f d e f BOOST MSVC / Uncomment t h e f o l l o w i n g l i n e s t o unmask f l o a t i n g p o i n t e x c e p t i o n s . Warning : u n p r e d i c t a b l e r e s u l t s can a r i s e . . . See h t t p : / /www. w i l m o t t . com/ messageview . cfm ? c a t i d =10&t h r e a d i d =9481 I s t h e r e anyone with a d e f i n i t i v e word about t h i s ? / // #i n c l u d e < f l o a t . h> // namespace { u n s i g n e d i n t u = c o n t r o l f p ( EM INEXACT, MCW EM) ; } #e n d i f #i n c l u d e < q l / q u a n t l i b . hpp> #i n c l u d e < v e c t o r > #i n c l u d e <cmath> #i n c l u d e <iomanip > #i n c l u d e < i o s t r e a m > #i n c l u d e < b o o s t / t i m e r . hpp> #i n c l u d e < b o o s t / a s s i g n / s t d / v e c t o r . hpp> #i n c l u d e < c a s s e r t > u s i n g namespace s t d ; u s i n g namespace b o o s t : : a s s i g n ; u s i n g namespace QuantLib ; #i f d e f i n e d (QL ENABLE SESSIONS) namespace QuantLib { Integer sessionId () { return 0; } } #e n d i f i n t main ( i n t , c h a r [ ] ) {

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    try { / MARKET DATA / Calendar c a l e n d a r = N u l l C a l e n d a r ( ) ; Date S e t t l e m e n t D a t e ( 1 , October , 2 0 1 3 ) ; s t d : : v e c t o r <Rate> MarketRate ; MarketRate += 0 . 0 3 5 , 0 . 0 4 0 1 , 0 . 0 4 5 3 1 ; Handle <Quote> d1yRate ( new SimpleQuote ( MarketRate [ 0 ] ) ) ; Handle <Quote> d2yRate ( new SimpleQuote ( MarketRate [ 1 ] ) ) ; Handle <Quote> d3yRate ( new SimpleQuote ( MarketRate [ 2 ] ) ) ; // Swap Rate H e l p e r I n f o r m a t i o n Frequency swFixedLegFrequency = Annual ; BusinessDayConvention swFixedLegConvention = Unadjusted ; DayCounter swFixedLegDayCounter = T h i r t y 3 6 0 ( T h i r t y 3 6 0 : : European ) ; b o o s t : : s h a r e d p t r <I b o r I n d e x > s w F l o a t i n g L e g I n d e x ( new Euribor6M ) ; c o n s t P e r i o d f o r w a r d S t a r t ( 1 Days ) ; // Rate C o n s t r u c t o r b o o s t : : s h a r e d p t r <RateHelper > d1y ( new SwapRateHelper ( Handle <Quote >(d1yRate ) , 1 Years , c a l e n d a r , swFixedLegFrequency , swFixedLegConvention , swFixedLegDayCounter , s w F l o a t i n g L e g I n d e x , Handle <Quote > () , f o r w a r d S t a r t ) ) ; b o o s t : : s h a r e d p t r <RateHelper > d2y ( new SwapRateHelper ( Handle <Quote >(d2yRate ) , 2 Years , c a l e n d a r , swFixedLegFrequency , swFixedLegConvention , swFixedLegDayCounter , s w F l o a t i n g L e g I n d e x , Handle <Quote > () , f o r w a r d S t a r t ) ) ; b o o s t : : s h a r e d p t r <RateHelper > d3y ( newSwapRateHelper ( Handle <Quote >(d2yRate ) , 3 Years , c a l e n d a r , swFixedLegFrequency , swFixedLegConvention , swFixedLegDayCounter , s w F l o a t i n g L e g I n d e x , Handle <Quote > () , f o r w a r d S t a r t ) ) ; / TERM STRUCTOR CONSTRUCTORS ( Same Spread t o a l l m a t u r i t i e s ) / // TERM STRUCTURE HELPERS DayCounter TS DC = A c t u a l A c t u a l ( A c t u a l A c t u a l : : Bond ) ; s t d : : v e c t o r <b o o s t : : s h a r e d p t r <RateHelper > > I n s t r u m e n t ; I n s t r u m e n t += d1y , d2y , d3y ; // FLAT TERMSTRUCTURE b o o s t : : s h a r e d p t r <Yi eld Ter mStr uct ure > FLAT( new FlatForward ( SettlementDate , d1yRate , A c t u a l A c t u a l ( ) , Compounded , Annual ) ) ; Handle <Yi eld Ter mStr uct ure > Handle FLAT ( new FlatForward ( SettlementDate , d1yRate , A c t u a l A c t u a l ( ) , Compounded , Annual ) ) ;

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    // ADD AN SPREAD TO FLAT Spread s p r e a d = 0 . 0 5 ; Handle <Quote> spreadQuote ( new SimpleQuote ( s p r e a d ) ) ; b o o s t : : s h a r e d p t r <Yi eld Ter mStr uct ure > NEWFLAT( new ZeroSpreadedTermStructure ( Handle FLAT , spreadQuote ) ) ; Handle <Yi eld Ter mStr uct ure > Handle NEWFLAT( new ZeroSpreadedTermStructure ( Handle FLAT , spreadQuote ) ) ; // CUSTOM TERMSTRUCTURE ( u s e p i e c e w i s e y i e l d c u r v e ) b o o s t : : s h a r e d p t r <Yi eld Ter mStr uct ure > CUSTOM TS( new P i e c e w i s e Y i e l d C u r v e < Discount , L i n e a r >( SettlementDate , Instrument , TS DC) ) ; Handle <Yi eld Ter mStr uct ure > Handle CUSTOM TS ( new P i e c e w i s e Y i e l d C u r v e < Discount , L i n e a r >( SettlementDate , Instrument , TS DC) ) ; // ADD AN SPREAD TO CUSTOM TERMSTRUCTURE b o o s t : : s h a r e d p t r <Yi eld Ter mStr uct ure > NEW CUSTOM TS( new ZeroSpreadedTermStructure ( Handle CUSTOM TS , spreadQuote ) ) ; Handle <Yi eld Ter mStr uct ure > Handle NEW CUSTOM TS( new ZeroSpreadedTermStructure ( Handle CUSTOM TS , spreadQuote ) ) ; / Some O b j e c t s a r e implementes with Handle , Quotes , and s o on . Check type i n Q u a n t l i b Page / / TERM STRUCTOR CONSTRUCTORS ( Vector o f Dates / S p r e a d s ) / s t d : : v e c t o r <Date> S p r e a d D a t e s ; S p r e a d D a t e s += Date ( 1 , Oct , 2 0 1 4 ) , Date ( 1 , Oct , 2 0 1 5 ) , Date ( 1 , Oct , 2 0 1 6 ) ; s t d : : v e c t o r <Spread > S p r e a d v a l u e s ; S p r e a d v a l u e s += 0 . 0 0 5 5 , 0 . 0 0 1 2 , 0 . 0 0 8 7 ; Handle <Quote> s 1 ( new SimpleQuote ( S p r e a d v a l u e s [ 0 ] ) ) ; Handle <Quote> s 2 ( new SimpleQuote ( S p r e a d v a l u e s [ 1 ] ) ) ; Handle <Quote> s 3 ( new SimpleQuote ( S p r e a d v a l u e s [ 2 ] ) ) ; s t d : : v e c t o r <Handle <Quote> > S p r e a d V e c t o r Q u o t e s ; S p r e a d V e c t o r Q u o t e s += s1 , s2 , s 3 ; // ADD A NON CONSTANT SPREAD TO CUSTOM TERMSTRUCTURE b o o s t : : s h a r e d p t r <Yi eld Ter mStr uct ure > CUSTOM2 TS( new I n t e r p o l a t e d P i e c e w i s e Z e r o S p r e a d e d T e r m S t r u c t u r e <L i n e a r >(Handle CUSTOM TS , Spread Vector Quotes , Spread Dates ) ) ;

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    Handle <Yi eld Ter mStr uct ure > Handle CUSTOM2 TS ( new I n t e r p o l a t e d P i e c e w i s e Z e r o S p r e a d e d T e r m S t r u c t u r e <L i n e a r >(Handle CUSTOM TS , Spread Vector Quotes , Spread Dates ) ) ; return 0; } c a t c h ( s t d : : e x c e p t i o n& e ) { s t d : : c e r r << e . what ( ) << s t d : : e n d l ; return 1; } catch ( . . . ) { s t d : : c e r r << unknown e r r o r << s t d : : e n d l ; return 1; } }

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    Now you can use the new curve to price instruments.

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