Matching VanillaSwap fairfixed with YieldTSForwardRate in ql XL

[pfindley]

Is there a way to match the vanillaswap fairfixed values with the yieldtsforwardrate function? When I use the yieldtsforwardrate I do not get back the inputs of my swaps, I am mostly using the example spreadsheet for this.

Thanks

[Luigi Ballabio]

Hi,
    apologies for the delay, I was on vacation.  How exactly were you
trying to replicate the fair fixed rate?  Depending on the leg
frequencies and conventions, it might not be exactly straightforward
to calculate it from the forward rates extracted on the curve.

Luigi

On Fri, Jul 27, 2012 at 12:26 PM, pfindley <[hidden email]> wrote:

>
> Is there a way to match the vanillaswap fairfixed values with the
> yieldtsforwardrate function? When I use the yieldtsforwardrate I do not get
> back the inputs of my swaps, I am mostly using the example spreadsheet for
> this.
>
> Thanks
> --
> View this message in context: http://old.nabble.com/Matching-VanillaSwap-fairfixed-with-YieldTSForwardRate-in-ql-XL-tp34219856p34219856.html
> Sent from the quantlib-users mailing list archive at Nabble.com.
>
>
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