Tagged: Curve Calibration
September 17, 2018 at 7:57 am #6546OBLIVIONParticipant
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.
October 7, 2018 at 2:35 pm #6549Peter CaspersKeymaster
- This topic was modified 1 year, 8 months ago by OBLIVION.
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.
PeterOctober 18, 2018 at 9:12 am #6554rkaplParticipant
Many thanks for the hint on the fx-forwards, I had exactly the same question!
RolandNovember 27, 2018 at 3:12 pm #6557rkaplParticipant
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.
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