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Pricing a Swap

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emanuele garofalo

Pricing a Swap

Hello i am Emanuele Garofalo and i'm a student of Economics in Rome at Lumsa University.

I'm trying to price this swap through the utilization of the Quantlib but i'm having some troubles.

Can you help me?

Moreover, how the forward rates are calculated?

Thank you

Have a good journey

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Dati Swap.xlsx (396K) Download Attachment

InterestRateDerivatives_s.xlsx (131K) Download Attachment

cheng li

答复: Pricing a Swap

Hi Emanuele,

There is a swap pricing example under the folder Examples.

For the forward rates calculation, in that example it is calculated from the “forecastingTermStructure”. For the detail, you should look into that example.

Regards,

Cheng

发件人: emanuele garofalo [mailto:[hidden email]]
发送时间: 2016年5月24日 22:16
收件人: [hidden email]
主题: [Quantlib-users] Pricing a Swap