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eehlers / QuantLibXL

An Excel addin for QuantLib.
http://www.quantlib.org/quantlibxl/
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Overnight Indexed Swap (OIS) vs. SARON #1

Open RogKle opened 6 years ago

RogKle commented 6 years ago

The valuation of Switzerland's OIS vs. SARON has to consider a "Pay Lag". This means that a payment happens not on the "Accrual End Date" but - in case of Switzerland - two business days later. Therefore a "Pay Lag" should be implemented in the schedule for the fixed and floating leg and in the qlOISRateHelper. It seems that the original OISRateHelper class does already provide a parameter to enter the payment lag, at least in the latest release, but it can't be used form qlOISRateHelper in Excel.

RogKle commented 5 years ago

I'm sorry, but I'm still waiting for an answer to my comment.

eehlers commented 5 years ago

this would require a volunteer to implement the change and contribute it. you might try the quantlib-users mailing list:

https://sourceforge.net/p/quantlib/mailman/quantlib-users/

bnalgo commented 5 years ago

I was doing some other QL addin work so picked this up -- see https://github.com/eehlers/QuantLibAddin-Old/pull/5#

eehlers commented 5 years ago

many thanks, i will look at this when i package the next release.

RogKle commented 5 years ago

many thanks as well! What about the function qlSchedule to value a running OIS by using qlOvernightIndexedSwap?