Difficult to say without giving some time to analysis, but you could try
a couple of tests. To begin with, you might check that your curve
reprices the input rates exactly; you can see how it's done in
<test-suite/piecewiseyieldcurve.cpp>. Then, you might try using
different interpolation methods, which can give different rates even
though the conventions are the same.
Luigi
On Tue, 2011-06-07 at 14:57 -0700, Pointman wrote:
> I have modified the swapvaluation example to have USDLibor 3M as floating
> rate. When I compare the cash flows from QuantLib to Barclay's Point (our
> gold standard for fixed income analytics ) I see that the cash flow dates
> match exactly but there is a bump in the numbers from Quantlib towards the
> short end. I don't think it's attributable to different conventions since
> the dates match and I am using the same deposit and swap rates as Barcalys.
> I am attaching 2 bmp files that show the floating leg cash flows from both
> systems. Also attached is my swapvalution.cpp file. Why does the quantlib
> cashflow go from 18K to 37K to 34K ?
> Any help is greatly appreaciated.
> Thanks a lot.
>
http://old.nabble.com/file/p31796038/cashflows_quantlib.bmp> cashflows_quantlib.bmp
>
http://old.nabble.com/file/p31796038/cashflows_point.bmp cashflows_point.bmp
>
http://old.nabble.com/file/p31796038/SwapValuation.cpp SwapValuation.cpp
--
For every problem there is one solution which is simple, neat, and
wrong.
-- H. L. Mencken
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