Overnight Indexed Swap (OIS)

[RogKle]

The valuation of Switzerland's OIS vs. SARON needs the following new features:

1. There is a "Pay Lag". That means that a payment happens not on the "Accrual End Date" but - in case of Switzerland - two business days later. Therefore in the schedule for the fixed and floating leg a "Pay Lag" should be defined. Similarly, a "Pay Lag" has to be implemented in qlOISRateHelper.
2. The index SARON has an offset of zero and the OIS rates have a spot date of T+2. As a consequence for the valuation there are no fixings (neither historical nor forward) for T and T+1. Therefore the missing fixings should be interpolated between T-1 (last added fixing using qlIndexAddFixings) and T+2 (first forward start fixing calculated out of the OIS rates).

[lballabio]

As for the first point, the OISRateHelper class does provide a parameter to enter the payment lag, at least in the latest release (see here) but from the function names you're using I'm guessing that you're trying to access it from the Excel addin. You can give a heads-up to the addin maintainer at https://github.com/eehlers/QuantLibXL so he can update the thing.

For the second point: what you can do at this time is to use the correct spot date of T+2 for the OIS helpers, but a spot date of T for the curve you're bootstrapping. This will enable the curve to give you rates at T and T+1 by extrapolating the T+2 rate backwards. If the common practice is to interpolate, though, this will need some code added for the SARON index.

[RogKle]

#1: I opened a corresponding new issue at https://github.com/eehlers/QuantLibXL
#2: Your proposed solution works, although the resulting NPV is slightly incorrect. Will the code for the SARON index be enhanced to enable interpolation?

Thank you very much for your support!

[lballabio]

I'll keep the issue open and see if someone has a go at the code.

[RogKle]

Two month ago, I opened an issue at https://github.com/eehlers/QuantLibXL, but I've never received any answer. Is this still the correct addin maintainer ?

[lballabio]

It is. Eric is probably busy with his day job.

[RogKle]

I'm sorry, but I'm still waiting for any answer from Eric.

[lballabio]

I'd try commenting again on that issue.

[stale]

This issue has been automatically marked as stale because it has not had recent activity. It will be closed if no further activity occurs. Thank you for your contributions.

[stale]

This issue has been automatically closed as stale.