1
$\begingroup$

I'm trying to find a way to price BRL CDI Swaps with Quantlib but I can't find any solutions so far - so I was wondering if anyone encountered this issue:

  1. I don't see any solution on Quantlib. I tried several ways
  • create a OIS curve in Quantlib using the FRA Futures as OIS swap points using the OISRateHelper
  • I used the actual discount factors (that I can find on BBG), create a curve and yield term structure

I always end up with the same result. I tried to create a ZCS (Zero coupon swap) and discount on the curves that I create but I'm always completely off. I guess it's because of the way DI Futures are coumpounded, Quantlib does not really have a method for this (that I know of). I'm hapy to share my code if needed but happy to have your thoughts on this or if you have an example of DI pricing via Quantlib (I searched everywhere already, no success)

  1. I tried to find alternatives online and I found ORE, that has installed something worth checking - https://www.opensourcerisk.org/docs/qle/class_quant_ext_1_1_b_r_l_cdi_swap.html . But the problem when I installed it (pip install open-source-risk-engine) I couldn't find this functionnality when I imported the module so I'm a bit lost here

Any idea ?

Thanks in advance,

$\endgroup$
2

1 Answer 1

0
$\begingroup$

I would like to preface by saying I have not worked with ORE previously. However, following the bindings to python from this link I can see there are none for that specific asset you are referring to, i.e. you can not call that instrument definition from Python and thus should use c++ (if someone is more familiar with ORE then please correct me if I am wrong). My best bet if you would like to have it in Python would be to create an issue in their repository.

$\endgroup$

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service and acknowledge you have read our privacy policy.

Not the answer you're looking for? Browse other questions tagged or ask your own question.