Curve Calibration

[OBLIVION]

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 years, 2 months ago by OBLIVION.

[Peter Caspers]

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

[rkapl]

Dear Peter!

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

-regards,
Roland

[rkapl]

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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