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Dec
2
comment How to manage evaluation date changes in QuantLib while using ImpliedTermStructure Class
Luigi, can you clarify this doubt? If I build the curve using the constructor that takes an explicit reference date, then I move the evaluation date 6M-forward and finally I price a bond with this new evaluation date, is this equivalent to pricing the bond on the implied curve today+6M? (And of course with 6M-less time to maturity for the bond)
Nov
27
comment Pricing Fixed-To-Floater bond in QuantLib
...I could create a step-up bond by combining two FloatingRateBonds with different spreads. I could create a bond which changes cap or floor at a certain date by combining two FloatingRateBonds with different caps and/or floors. The fixed-to-floater, as we already said, is the combination of a FixedRateBond with a FloatingRateBond, etc.
Nov
27
comment Pricing Fixed-To-Floater bond in QuantLib
Luigi, what do you think of this idea? Creating a new class that inherits from Bond and takes, as constructor, an array of Bonds and an array of dates. Bond A for example is a fixed rate one, and is valid from issue date to date X. Bond B is a floating rate one and is valid from date X to maturity. The "combined" class will take the cashflows of Bond A from issue date to date X and the cashflows of Bond B from date X to maturity. This way, the "combined" class will be totally generic, and could be used to combine any kind of bonds...
Nov
11
comment How to sum interest rate curves in QuantLib
Thank you for clarifying!
Nov
11
comment How to sum interest rate curves in QuantLib
One question on the implementation of ZeroSpreadedTermStructure: in the declaration of ZeroSpreadedTermStructure::forwardImpl I see the comment /* This method must disappear should the spread become a curve */. Besides, ZeroSpreadedTermStructure inherits ZeroYieldStructure which inherits YieldTermStructure which only requires to implement discountImpl, while forwardImpl is required for ForwardRateStructure, which is not a base class. So why is forwardImpl implemented in ZeroSpreadedTermStructure? And what is the meaning of the comment I reported above?
Nov
6
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