When pricing a HKD 5y1y swap, I noticed the Effective Rate in the floating-leg cashflows looked a bit funny. The rates quoted are:
Date Start Date End Date Accr Pd Eff Rt Fwd Rate
8/14/2012 5/14/2012 8/14/2012 0.2514 5.88% 5.27%
11/14/2012 8/14/2012 11/14/2012 0.2514 5.84% 5.15%
2/14/2013 11/14/2012 2/14/2013 0.2517 5.92% 5.22%
5/14/2013 2/14/2013 5/14/2013 0.2438 6.01% 5.29%
You'll notice that the Eff Rt and the Fwd Rate are way off from each other. Also, the Fwd rates do not look smooth. I've attached a copy of the spreadsheet I am working with - any help is much appreciated.
Thanks,
- Luis
Quantlib+HKD+USD+Problems.xls
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