Swap Fixed Leg
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Hi all,
I am trying to get the bpv of a swap fixed leg. I am using this syntax: fixedleg = vanillaswap.fixedLeg(); dv01 =CashFlows::basisPointValue(fixedleg,yield,fixed_dc, Continuous, fixed_frequency,true,settlement_date); In doing like this, the final notional repayment will not be included in the bpv isn' it ? If this is the case how can I include this ? Thanks ------------------------------------------------------------------------------ Better than sec? Nothing is better than sec when it comes to monitoring Big Data applications. Try Boundary one-second resolution app monitoring today. Free. http://p.sf.net/sfu/Boundary-dev2dev _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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Simone,
take a copy of the vector and add the final payment: vector<shared_ptr<CashFlow> > fixedleg = vanillaswap.fixedLeg(); shared_ptr<CashFlow> final_payment(new SimpleCashFlow(notional, maturity)); fixedLeg.push_back(final_payment); dv01 = ... Luigi On Wed, Apr 18, 2012 at 5:25 PM, simone pilozzi <[hidden email]> wrote: > Hi all, > I am trying to get the bpv of a swap fixed leg. I am using this syntax: > > fixedleg = vanillaswap.fixedLeg(); > > dv01 =CashFlows::basisPointValue(fixedleg,yield,fixed_dc, Continuous, > fixed_frequency,true,settlement_date); > In doing like this, the final notional repayment will not be included in the > bpv isn' it ? If this is the case how can I include this ? > > Thanks > > ------------------------------------------------------------------------------ > Better than sec? Nothing is better than sec when it comes to > monitoring Big Data applications. Try Boundary one-second > resolution app monitoring today. Free. > http://p.sf.net/sfu/Boundary-dev2dev > _______________________________________________ > QuantLib-users mailing list > [hidden email] > https://lists.sourceforge.net/lists/listinfo/quantlib-users > ------------------------------------------------------------------------------ Better than sec? Nothing is better than sec when it comes to monitoring Big Data applications. Try Boundary one-second resolution app monitoring today. Free. http://p.sf.net/sfu/Boundary-dev2dev _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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Thanks a lot Luigi !
On 18 April 2012 17:39, Luigi Ballabio <[hidden email]> wrote: Simone, ------------------------------------------------------------------------------ Better than sec? Nothing is better than sec when it comes to monitoring Big Data applications. Try Boundary one-second resolution app monitoring today. Free. http://p.sf.net/sfu/Boundary-dev2dev _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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In reply to this post by simone pilozzi
simone pilozzi <[hidden email]> wrote:
> I am trying to get the bpv of a swap fixed leg. I am using this syntax: > > fixedleg = vanillaswap.fixedLeg(); > > dv01 =CashFlows::basisPointValue(fixedleg,yield,fixed_dc, Continuous, > fixed_frequency,true,settlement_date); > In doing like this, the final notional repayment will not be included in the > bpv isn' it ? If this is the case how can I include this ? it's much more effective to just obtain the result using vanillaswap.fixedLegBPS() everything relevant will be included... ciao -- Nando ------------------------------------------------------------------------------ For Developers, A Lot Can Happen In A Second. Boundary is the first to Know...and Tell You. Monitor Your Applications in Ultra-Fine Resolution. Try it FREE! http://p.sf.net/sfu/Boundary-d2dvs2 _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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On Thu, Apr 19, 2012 at 6:06 PM, Ferdinando Ametrano <[hidden email]> wrote:
> simone pilozzi <[hidden email]> wrote: >> I am trying to get the bpv of a swap fixed leg. I am using this syntax: >> >> fixedleg = vanillaswap.fixedLeg(); >> >> dv01 =CashFlows::basisPointValue(fixedleg,yield,fixed_dc, Continuous, >> fixed_frequency,true,settlement_date); >> In doing like this, the final notional repayment will not be included in the >> bpv isn' it ? If this is the case how can I include this ? > > it's much more effective to just obtain the result using > > vanillaswap.fixedLegBPS() > > everything relevant will be included... He wanted to include the final notional payment, though. I don't think it's included in the above. I'll leave it to you to discuss whether he should :) Luigi ------------------------------------------------------------------------------ For Developers, A Lot Can Happen In A Second. Boundary is the first to Know...and Tell You. Monitor Your Applications in Ultra-Fine Resolution. Try it FREE! http://p.sf.net/sfu/Boundary-d2dvs2 _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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On Thu, Apr 19, 2012 at 6:14 PM, Luigi Ballabio
<[hidden email]> wrote: > On Thu, Apr 19, 2012 at 6:06 PM, Ferdinando Ametrano <[hidden email]> wrote: >> everything relevant will be included... > > He wanted to include the final notional payment, though. I don't > think it's included in the above. I'll leave it to you to discuss > whether he should :) isn't my hint enough ? ;-) ciao -- Nando ------------------------------------------------------------------------------ For Developers, A Lot Can Happen In A Second. Boundary is the first to Know...and Tell You. Monitor Your Applications in Ultra-Fine Resolution. Try it FREE! http://p.sf.net/sfu/Boundary-d2dvs2 _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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Hi again,
I did not check the last hint of Ferdinando.... With the first suggestion it works and results match Bloomberg. Thanks again! On 19 April 2012 18:19, Ferdinando Ametrano <[hidden email]> wrote:
------------------------------------------------------------------------------ For Developers, A Lot Can Happen In A Second. Boundary is the first to Know...and Tell You. Monitor Your Applications in Ultra-Fine Resolution. Try it FREE! http://p.sf.net/sfu/Boundary-d2dvs2 _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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