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This topic contains 3 replies, has 3 voices, and was last updated by  rkapl 2 weeks, 3 days ago.

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  • #6546

    OBLIVION
    Participant

    How can the constructed curve parameters like the zero rate / Discount factor/ Market quote / Start /End date etc be generated as output.
    Also can FX Swap points be directly added as market data for Curve constrction.

    • This topic was modified 2 months, 4 weeks ago by  OBLIVION.
    #6549

    Peter Caspers
    Keymaster

    There is the curves analytics which will output discount factors for interest rate curves on a predefined grid. This output is however independent of the bootstrap instruments.

    As for the second question the answer is yes, look e.g. into Examples/Input/curveconfig.xml

    
          <CurveId>EUR-IN-USD</CurveId>
          <CurveDescription>EUR collateralized in USD discount curve</CurveDescription>
          <Currency>EUR</Currency>
          <DiscountCurve/>
          <Segments>
            <CrossCurrency>
              <Type>FX Forward</Type>
              <Quotes>
                <Quote>FXFWD/RATE/EUR/USD/3M</Quote>
                <Quote>FXFWD/RATE/EUR/USD/6M</Quote>
                <Quote>FXFWD/RATE/EUR/USD/9M</Quote>
                <Quote>FXFWD/RATE/EUR/USD/12M</Quote>
              </Quotes>
              <Conventions>EUR-USD-FX-CONVENTIONS</Conventions>
              <DiscountCurve>USD1D</DiscountCurve>
              <SpotRate>FX/RATE/EUR/USD</SpotRate>
    ...
    

    where fx forward points are used to strip the short end of a curve. The corresponding market data looks like this

    
    20160205 FXFWD/RATE/EUR/USD/1D 0.75795447
    20160205 FXFWD/RATE/EUR/USD/1M 9.46351358
    20160205 FXFWD/RATE/EUR/USD/1W 1.82722318
    20160205 FXFWD/RATE/EUR/USD/1Y 149.76458056
    20160205 FXFWD/RATE/EUR/USD/2D 0.25668124
    20160205 FXFWD/RATE/EUR/USD/2M 19.62402097
    20160205 FXFWD/RATE/EUR/USD/2W 3.68789339
    20160205 FXFWD/RATE/EUR/USD/2Y 338.73048699
    ...
    

    The points are given with a multiplier of 10000 as can be seen in the conventions file

    
      <FX>
        <Id>EUR-USD-FX-CONVENTIONS</Id>
        <SpotDays>2</SpotDays>
        <SourceCurrency>EUR</SourceCurrency>
        <TargetCurrency>USD</TargetCurrency>
        <PointsFactor>10000</PointsFactor>
        <AdvanceCalendar>TARGET,US</AdvanceCalendar>
        <SpotRelative>true</SpotRelative>
        <AdditionalSettleCalendar/>
      </FX>
    

    Hope that helps.

    Best Regards
    Peter

    #6554

    rkapl
    Participant

    Dear Peter!

    Many thanks for the hint on the fx-forwards, I had exactly the same question!

    -regards,
    Roland

    #6557

    rkapl
    Participant

    Dear All!

    Just one hint concerning ordering of quotes in segments:
    Always place the quotes in order of maturity, otherwise following (rather obscure) error will occur:
    ALERT [2018-Nov-27 10:13:49.429047] (orea\app\oreapp.cpp:213) : Error: yield curve building failed for curve CHF-IN-EUR on date 2018-11-26: invalid date (December 5th, 2018, vs December 28th, 2018)

    It might be a good idea to mention the ordering requiremetn in the Curves: curveconfig.xml section of the userguide.

    -regards,
    Roland

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