[R-SIG-Finance] RQuantlib tsquote meaning of rates

[Dirk Eddelbuettel]

On 24 March 2014 at 11:54, Kevin Owens wrote:
| I thought it was strange that the tsQuote argument used swap rates for 
| longer tenors. These types of rates don't seem very easy to get, but 
| maybe I'm misunderstanding something. I would have thought I could use 
| the semi-annual bond equivalent rates, say, from the Treasury website.
| 
| My questions are
| 1. How can I figure out how the swap rates are being used in Quantlib?
| 2. Is there any way to input bond equivalent rates into tsQuote, or as a 
| DiscountCurve class?
| 3. Would I need to convert par rates to swap rates? If so, how?

It's a QuantLib question; the existing RQuantLib code more or less follows
the existing QuantLib examples and regression tests -- see directories
Examples/ and test-suite/ in the QuantLib sources.  Some of those file have
comments, eg Examples/Swap/swapvaluation.cpp has

        /*********************
         ***  MARKET DATA  ***
         *********************/

        Calendar calendar = TARGET();
        Date settlementDate(22, September, 2004);
        // must be a business day
        settlementDate = calendar.adjust(settlementDate);

        Integer fixingDays = 2;
        Date todaysDate = calendar.advance(settlementDate, -fixingDays, Days);
        // nothing to do with Date::todaysDate
        Settings::instance().evaluationDate() = todaysDate;


        todaysDate = Settings::instance().evaluationDate();
        std::cout << "Today: " << todaysDate.weekday()
                  << ", " << todaysDate << std::endl;

        std::cout << "Settlement date: " << settlementDate.weekday()
                  << ", " << settlementDate << std::endl;

        // deposits
        Rate d1wQuote=0.0382;
        Rate d1mQuote=0.0372;
        Rate d3mQuote=0.0363;
        Rate d6mQuote=0.0353;
        Rate d9mQuote=0.0348;
        Rate d1yQuote=0.0345;
        // FRAs
        Rate fra3x6Quote=0.037125;
        Rate fra6x9Quote=0.037125;
        Rate fra6x12Quote=0.037125;
        // futures
        Real fut1Quote=96.2875;
        Real fut2Quote=96.7875;
        Real fut3Quote=96.9875;
        Real fut4Quote=96.6875;
        Real fut5Quote=96.4875;
        Real fut6Quote=96.3875;
        Real fut7Quote=96.2875;
        Real fut8Quote=96.0875;
        // swaps
        Rate s2yQuote=0.037125;
        Rate s3yQuote=0.0398;
        Rate s5yQuote=0.0443;
        Rate s10yQuote=0.05165;
        Rate s15yQuote=0.055175;

The file was setup a while back under a different curve, obviously. See the
QuantLib documentation for the exact convention or assumptions.

Cheers, Dirk 

-- 
Dirk Eddelbuettel | edd at debian.org | http://dirk.eddelbuettel.com