On Tue, 2009-07-14 at 05:53 -0700, dhoorens wrote:
> In Hull Ed. 5 section 6.4 : Valuation of IRS, I can find the formula giving
> the value of a IRS
> Vswap = Bfix - Bfloating
> where
> Bfix is the value of the fixedratebond (fixedLeg) and
> Bfloating is (L+k*) exp(-r1*t1)
> with
> L= notional, k* = fltRate, r1 = Libor zero rate at time t1, t1 next
> payment date
>
> Can i find this formula coded somewhere in the pricingEngines section of
> QuantLib?
Not really. The above is the simplified formula assuming par coupons.
DiscountingSwapEngine does the same, but also adds up future floating
coupons (which are not in the formula, as they're assumed to add up to
100 (discounted, of course) and cancel out with the redemption of the
fixed-rate bond.)
Luigi
--
Testing can never demonstrate the absence of errors in software, only
their presence.
-- W.E. Dijkstra
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