Introduction

quantra terminal is a quantitative finance tool based on quantra API which in turn is based in Quantlib opensource library.

Its goal is to construct an application with quantlib capabilities making them available to non developer users. Although users will have access to quantlib functionalities without programming, being familiar with the library will help. Things like knowing how different interpolators are implmented in quantlib or what thrown errors mean will make everything easier.

The good part is that abundant information and bibliograpgy about quantlib can be found online:

The terminal is a web application that works with the API and data can either be stored in text files locally or in a local database. Take a look to the storage section for more detail.

Quickstart

To start using the terminal connect to the sample quantra database which contains some data from Everything You Always Wanted to Know About Multiple Interest Rate Curve Bootstrapping but Were Afraid to Ask paper from Ferdinando M. Ametrano and Marco Bianchetti.

Go to tools and use below information in Database section:

This information will appear by default so just clicking Connect button should be enough. Once connected to the database the logo located at the upper right corner will turn yellow.

Note

You will just have read permission to the sample database, if you want to use your own data disconnect from it or use your own database

You can now generate the Eonia and 3 Months Euribor from the paper. To generate the Eonia curve use below settings:

  • Term Structure: Eonia
  • Date: December 11th of 2012
  • Curve type: Forward

Forward curve settings:

  • Forward Tenor Number: 1
  • Forward Time Unit: Days
  • Forward Calendar: TARGET
  • Forward Day Counter: Actual360
  • Forward Compounding: Simple

Note

Curve settings have been taken from Quantlib Python Cookbook

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Click generate curve:

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Zoom in to plot 2014 data to see how jumps are plotted and make the curve smoother (check this post for a small explanation on curve jumps):

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To plot Euribor 3M curve:

  • Term Structure: EUR3M
  • Date: December 11th of 2012
  • Curve type: Forward

Forward curve settings:

  • Forward Tenor Number: 3
  • Forward Time Unit: Months
  • Forward Calendar: TARGET
  • Forward Day Counter: Actual360
  • Forward Compounding: Simple
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