Chris_Sun

Results 5 comments of Chris_Sun

Rateslib Performance on large number of instuments

ah thanks for the info. Tried with `Portfolio ` but seems it could only calculate NPV instead of implied yield. Also, tried testing it on 1000 instruments, speed of calculation...

Adding AUD and NZD calendar and IRS spec into spec_loader?

I guess we start with AUD first. For AUD there is the AONIA (OIS) curve, the BBSW 3M curve, and the BBSW 6M curve. (the most liquid ones anyway). The...

Adding AUD and NZD calendar and IRS spec into spec_loader?

You are right, there shouldn't be. Thanks for pointing that out.

Adding AUD and NZD calendar and IRS spec into spec_loader?

Thanks for the update. The spec for NZD 3s looks fine. Not sure if we needed a 6s swap spec since it is not actively traded, nevertheless no harm to...

Adding AUD and NZD calendar and IRS spec into spec_loader?

don't think BBSW3M is 2b.d. publication lag. Think the 'method_param' should have 0 as input for leg 1