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5

Ok, I've done some digging in the code. It's an issue with the LogLinear interpolation; while trying to find the correct rate for the 1-week node, the bootstrapper wanders unchecked into a region of negative rates and the logarithms blow up. At this time, I'm afraid the workaround is just to use some other interpolation. Or recompile the library and the ...


5

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's no class at this time to add two curves as you want, but it won't be much difficult to write it. The closest you'll get in the library is the ZeroSpreadedTermStructure class, that shows the general idea: it inherits from YieldTermStructure (by way of ZeroYieldStructure) takes a YieldTermStructure and a spread (constant, in this case) and override ...


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 ...


4

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 ...


3

Tenor is just a different term for time to maturity. A schedule is generated from startDate and endDate in combination with a time to maturity and some info on calendar specifics. Here is an example from Dimitri Reiswich' Presentation from quantlib.com, I hope it makes the use of schedule clearer to you: void testingSchedule1 (){ Date begin (30 , September ...


3

As for the first question, the schedule should start from the issue date. The bond will manage cash flows correctly based on the evaluation date. The second is a bit trickier, and I don't think I have working code handy. The general idea is: if you want to add a spread to the rate of the bond (to go from discount margin to price) you'll have to modify the ...


3

It's hard to be sure without seeing the inputs, but I'm guessing that the implied curve changes shape because the original curve does (which you can see from your output: except for the 1-year and 5-years points, the actual discounts are different). The reason the original curve changes is probably the different position of weekends or holidays (so that, ...


2

Answering my own question: All the indicated numbers as obtained from ICAP need to be divided by 100, as they are percentages The OptionletStripper1 takes an IborIndex, which should have a tenor equal to 1Y. I had set it to 6M, and that seemed to cause problems Ouch!


2

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 ...


2

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 ...



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