# Tag Info

6

I'm familiar with the library, but not with the way it is exported to R. Anyway: gearings are optional multipliers of the LIBOR fixing (some bonds might pay, for instance, 0.8 times the LIBOR) and spreads are the added spreads. In your case, the gearing is 1 and the spread is 0.0140 (that is, 140 bps; rates and spread must be expressed in decimal form). ...

5

There are two different issues at play here. One is that, of course, you want only the future cash flows to enter the calculation. This is taken care when you set the evaluation date to 6 months from today. In C++, you would say Settings::instance().evaluationDate() = today + 6*Months; I don't remember the corresponding function in QuantLibXL, but you ...

4

While you may be able to arrive at some answer to this question empirically with a bit of research, theoretically I don't know if there is a formulaic/mathematical way to extract expectations of future rates from floaters. The reason is that, theoretically, a floating rate note's price is determined only from the interest rate corresponding to the next ...

4

I believe it's correct. However, consider that it would be easy enough, and more clear, to create a new class (at least in C++; the task is more difficult if you also want to export it to Excel). The new instrument should only inherit from Bond and implement a constructor that builds the desired cash flows via a call to FixedLeg and another to IborLeg; you ...

3

Answering my own question: use qlFloatingRateBond and pass it a range of strikes (one for each coupon) for both Caps and Floors arguments use BondEngine as pricing engine use IborCouponPricer with Type argument equal to "IborByBlack" as coupon pricer - This pricer also takes an OptionletVolatilitySurface as input the OptionletVolatilitySurface can be ...

3

I think to have the answer: use qlBondPreviousCashFlowDate() pointing at your FloatingRateBond object to get the last date of payment; use qlInterestRateIndexFixingDate() to get the fixing date referring to the last payment date; use qlIndexAddFixings() to add a fixing rate to the fixing date you got above; repeat for each one of your bonds if they share ...

3

Good leveraged loan tutorials are few and far between. I've looked far and wide, and the best I ever found was a leveraged loan handbook published by citigroup (by William Deitrick) in 2006 which is free for clients. Citi and Barclays also have two decent (but very different) bank loan models. For Citi, search for Terry Benzschawel. For Barclays, look in ...

3

A condition for correct calibration of the short rate model is that it exactly reproduce the present values of fixed (option-free) cashflows - that is, that it give the same answer as ordinary discounting at the spot rate. If it doesn't, you've done something wrong - sort of like using a model that violates put-call parity. (Actually, it's exactly like ...

1

You can resort to a model for the "hazard rate", $\lambda$, where the hazard rate is "the instantaneous conditional default probability". Hull suggests modelling this in exactly the same way you would model the short rate of interest in the Hull-White short rate setup. Recall, for short rates you assume an Affine structure for bond prices ...

1

I read this dealbreaker post (via a link from Deus Ex Macchiato), which explains that many (most?) contracts detail something like 'the number on the Libor01 Reuters page' rather than 'the rate published by the BBA as the 3m LIBOR'. So, as Levine argues, if the BBA rephrase Libor as something else, even a trade-driven value, many of those agreements would ...

1

I assume that rate derivatives refers to a given underlying libor index that is published by either BBA, EBF or so and that than no counterparty can deny its liability wrt the contract. As such contracts are still valid between the counterparties eventhough one counterparty can suite the responsible of the fraud itself.

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