Problems with forward rates

[Segalini Cyrille]

Hello everyone,

 

I’m quite new at quantlib and I’m using quantlibXL as an introduction.

 

I’ve been trying to price a swap recently, just to be sure my understanding is correct. Yet, I do not manage with getting the correct forward rates.

 

My example is attached and is based on one of the standalone example in quantlibXL. You’ll see that my forward rate in my floating leg are not correct (checked with Bloomberg and the common formula).

 

Can anyone help me on that. I must have missed something.

 

By the way, nice tool. Thanks !

 

Cyrille

 

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[Smith, Dale (Norcross)]

Check day counts, business day convention, interpolation method, etc.

 

Dale Smith, Ph.D.

Senior Financial Quantitative Analyst

Risk & Compliance

Fiserv

Office: 678-375-5315

www.fiserv.com

 

From: Segalini Cyrille [mailto:[hidden email]]
Sent: Thursday, February 21, 2013 10:46 AM
To: [hidden email]
Subject: [Quantlib-users] Problems with forward rates

 

Hello everyone,

 

I’m quite new at quantlib and I’m using quantlibXL as an introduction.

 

I’ve been trying to price a swap recently, just to be sure my understanding is correct. Yet, I do not manage with getting the correct forward rates.

 

My example is attached and is based on one of the standalone example in quantlibXL. You’ll see that my forward rate in my floating leg are not correct (checked with Bloomberg and the common formula).

 

Can anyone help me on that. I must have missed something.

 

By the way, nice tool. Thanks !

 

Cyrille

 

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[Piotr Gregor]

yes, check it definitively ; p

cf16

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[Segalini Cyrille]

Thank you all for your help. I get exactly what I need now.

 

Cyrille

 

De : cf16r [mailto:[hidden email]]
Envoyé : vendredi 22 février 2013 14:22
À : Smith, Dale
Cc : Segalini Cyrille; [hidden email]
Objet : Re: [Quantlib-users] Problems with forward rates

 

yes, check it definitively ; p

cf16

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[cheng li]

Hi Segalini,

 

Could you show us where you find the result is wrong? Or could you attached sample of BBG and show us where your result is different from BBG?

 

From another mail we know you have already solved your problem. Congratulations! May someone will face the same problem as you. This sample will help them a lot.

 

 

Regards,

Cheng

 

发件人: Segalini Cyrille [mailto:[hidden email]]
发送时间: 2013年2月21日 23:46
收件人: [hidden email]
主题: [Quantlib-users] Problems with forward rates

 

Hello everyone,

 

I’m quite new at quantlib and I’m using quantlibXL as an introduction.

 

I’ve been trying to price a swap recently, just to be sure my understanding is correct. Yet, I do not manage with getting the correct forward rates.

 

My example is attached and is based on one of the standalone example in quantlibXL. You’ll see that my forward rate in my floating leg are not correct (checked with Bloomberg and the common formula).

 

Can anyone help me on that. I must have missed something.

 

By the way, nice tool. Thanks !

 

Cyrille

 

------------------------------------------------------------------------------
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Download AppDynamics Lite for free today:
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[Segalini Cyrille]

Hello everyone,

 

My problem was really a beginner problem. I had not understood how to build a piecewise yield curve with quantlib, and thought that the correct function was qlinterpolatedyieldcurve instead of the qlpiecewiseyieldcurve.

 

Thanks you all again for your help.

 

Cyrille

 

 

De : Cheng Li [mailto:[hidden email]]
Envoyé : samedi 23 février 2013 12:35
À : Segalini Cyrille; [hidden email]
Objet : 答复: [Quantlib-users] Problems with forward rates

 

Hi Segalini,

 

Could you show us where you find the result is wrong? Or could you attached sample of BBG and show us where your result is different from BBG?

 

From another mail we know you have already solved your problem. Congratulations! May someone will face the same problem as you. This sample will help them a lot.

 

 

Regards,

Cheng

 

发件人: Segalini Cyrille [[hidden email]]
发送时间: 2013年2月21日 23:46
收件人: [hidden email]
主题: [Quantlib-users] Problems with forward rates

 

Hello everyone,

 

I’m quite new at quantlib and I’m using quantlibXL as an introduction.

 

I’ve been trying to price a swap recently, just to be sure my understanding is correct. Yet, I do not manage with getting the correct forward rates.

 

My example is attached and is based on one of the standalone example in quantlibXL. You’ll see that my forward rate in my floating leg are not correct (checked with Bloomberg and the common formula).

 

Can anyone help me on that. I must have missed something.

 

By the way, nice tool. Thanks !

 

Cyrille

 

------------------------------------------------------------------------------
Everyone hates slow websites. So do we.
Make your web apps faster with AppDynamics
Download AppDynamics Lite for free today:
http://p.sf.net/sfu/appdyn_d2d_feb
_______________________________________________
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[hidden email]
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