clean market value of a vanilla swap
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Hi, I think the NPV() method on vanilla swaps returns the market value/net prevent value of both legs of the swap, including the pricipals and accrued interests. How can i get the clean market value ( principal) alone? it should just be NPV()- accured interest.
Thanks Kevin |
Re: clean market value of a vanilla swap
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On Wed, Apr 8, 2009 at 10:26 PM, kevinwang <[hidden email]> wrote:
> I think the NPV() method on vanilla swaps returns the market value/net > prevent value of both legs of the swap right > including the pricipals and accrued > interests. How can i get the clean market value ( principal) alone? it > should just be NPV()- accured interest. even if I can probably guess what you mean, I must confess this is my first time ever I read about "accrued interest" for a swap, and I've been working quite a few years on a swap desk. From which need your question originates? Chances are there might be a more natural way to achieve what you need. ciao -- Nando ------------------------------------------------------------------------------ This SF.net email is sponsored by: High Quality Requirements in a Collaborative Environment. Download a free trial of Rational Requirements Composer Now! http://p.sf.net/sfu/www-ibm-com _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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Hi, Nando, thanks for your reply. sorry if i did not make it clear. when we price a swap, shall we price it to the clean market value?
Let us say we need to price a vanilla swap mark to market. it is a 5 year swap with notional of 100mm in USD. the fixed leg is 2.456%, semi-annual, the floating leg is 3month libor, quarterly. the trade setttlement date was January 1st, 2009. Valuation Date is today: Apr 9th, so the market value = total discounted cash flow = NPV = 90,968,492. but for the fixed leg, from the time period of about 98 days between settlement date Jan 1st, 2009 to the valuation date Apr 9th, 2009, these is an accrued amount of 100mm * 2.456% * 98/360 for the fixed leg, from the time period of 8 days between last coupon date apr 1st, 2009 to the valuation date Apr 9th, 2009, these is an accrued amount of 100mm * the fixing rate * 8/360 I think we need to deduct the accrued amount from the NPV to get the clean market value so that we can calculate the price of the swap as 1- clean_market_value/ notional. this seems to be what Bloomberg does... Thanks
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Re: clean market value of a vanilla swap
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Hi Kevin
Net Present Value stands for... oh well... net present value of all future cashflows: accrued amount doesn't enter into the calculation since it's not a cashflow. ciao -- Nando On Thu, Apr 9, 2009 at 5:28 PM, kevinwang <[hidden email]> wrote: > > Hi, Nando, thanks for your reply. sorry if i did not make it clear. when we > price a swap, shall we price it to the clean market value? > > Let us say we need to price a vanilla swap mark to market. it is a 5 year > swap with notional of 100mm in USD. the fixed leg is 2.456%, semi-annual, > the floating leg is 3month libor, quarterly. > > the trade setttlement date was January 1st, 2009. > Valuation Date is today: Apr 9th, > so the market value = total discounted cash flow = NPV = 90,968,492. > > but > > for the fixed leg, from the time period of about 98 days between settlement > date Jan 1st, 2009 to the valuation date Apr 9th, 2009, these is an accrued > amount of 100mm * 2.456% * 98/360 > > for the fixed leg, from the time period of 8 days between last coupon date > apr 1st, 2009 to the valuation date Apr 9th, 2009, these is an accrued > amount of 100mm * the fixing rate * 8/360 > > I think we need to deduct the accrued amount from the NPV to get the clean > market value so that we can calculate the price of the swap as 1- > clean_market_value/ notional. this seems to be what Bloomberg does... > > Thanks > > > > > > Ferdinando Ametrano-4 wrote: >> >> On Wed, Apr 8, 2009 at 10:26 PM, kevinwang <[hidden email]> wrote: >>> I think the NPV() method on vanilla swaps returns the market value/net >>> prevent value of both legs of the swap >> right >> >>> including the pricipals and accrued >>> interests. How can i get the clean market value ( principal) alone? it >>> should just be NPV()- accured interest. >> >> even if I can probably guess what you mean, I must confess this is my >> first time ever I read about "accrued interest" for a swap, and I've >> been working quite a few years on a swap desk. From which need your >> question originates? Chances are there might be a more natural way to >> achieve what you need. >> >> ciao -- Nando >> >> ------------------------------------------------------------------------------ >> This SF.net email is sponsored by: >> High Quality Requirements in a Collaborative Environment. >> Download a free trial of Rational Requirements Composer Now! >> http://p.sf.net/sfu/www-ibm-com >> _______________________________________________ >> QuantLib-users mailing list >> [hidden email] >> https://lists.sourceforge.net/lists/listinfo/quantlib-users >> >> > > -- > View this message in context: http://www.nabble.com/clean-market-value-of-a-vanilla-swap-tp22958922p22971778.html > Sent from the quantlib-users mailing list archive at Nabble.com. > > > ------------------------------------------------------------------------------ > This SF.net email is sponsored by: > High Quality Requirements in a Collaborative Environment. > Download a free trial of Rational Requirements Composer Now! > http://p.sf.net/sfu/www-ibm-com > _______________________________________________ > QuantLib-users mailing list > [hidden email] > https://lists.sourceforge.net/lists/listinfo/quantlib-users > ------------------------------------------------------------------------------ This SF.net email is sponsored by: High Quality Requirements in a Collaborative Environment. Download a free trial of Rational Requirements Composer Now! http://p.sf.net/sfu/www-ibm-com _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
Re: clean market value of a vanilla swap
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On Fri, 2009-04-10 at 10:39 +0200, Ferdinando Ametrano wrote:
> Net Present Value stands for... oh well... net present value of all > future cashflows: accrued amount doesn't enter into the calculation > since it's not a cashflow. Yes, that was clear (to Kevin too, I guess.) But since Kevin writes that > > I think we need to deduct the accrued amount from the NPV to get the clean > > market value so that we can calculate the price of the swap as 1- > > clean_market_value/ notional. this seems to be what Bloomberg does... ...my question is: did Bloomberg introduce a definition of "swap price" that we weren't aware of? And if so, should we code it? Luigi -- A debugged program is one for which you have not yet found the conditions that make it fail. -- Jerry Ogdin ------------------------------------------------------------------------------ This SF.net email is sponsored by: High Quality Requirements in a Collaborative Environment. Download a free trial of Rational Requirements Composer Now! http://p.sf.net/sfu/www-ibm-com _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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in the SWPM screen of Bloomberg, there are a few items available for vanilla swaps:
market value //as the NPV we have in Quantlib
accrued //accrued amount from last coupon payment to valuation date
principal //market value minus accrued, this is the "clean market value"
premium //principal divided by notional, this is the "price" we usually refer to.
Do we have some methods in Quantlib for "Accured" and "Premium"?
BTW, what are the FloatLegBPS and FloatLegNPV for?
Thanks Kevin
On Fri, Apr 10, 2009 at 3:53 AM, Luigi Ballabio <[hidden email]> wrote:
------------------------------------------------------------------------------ This SF.net email is sponsored by: High Quality Requirements in a Collaborative Environment. Download a free trial of Rational Requirements Composer Now! http://p.sf.net/sfu/www-ibm-com _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
Re: clean market value of a vanilla swap
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On Sat, Apr 11, 2009 at 8:46 PM, Kevin Wang <[hidden email]> wrote:
> in the SWPM screen of Bloomberg, there are a few items available for vanilla > swaps: > > market value //as the NPV we have in Quantlib > accrued //accrued amount from last coupon payment to valuation date > principal //market value minus accrued, this is the "clean market value" > premium //principal divided by notional, this is the "price" we usually > refer to. > > Do we have some methods in Quantlib for "Accured" and "Premium"? them, would you cross check with Bloomberg values? > BTW, what are the FloatLegBPS and FloatLegNPV for? FloatLegNPV is the NPV of the floating leg alone, while BPS stands for basis point sensitivity, i.e. the change in the NPV for a change of 1 basis point in the leg coupon. The same applies to FixedLegNPV and FixedLegBPS, of course ciao -- Nando ------------------------------------------------------------------------------ This SF.net email is sponsored by: High Quality Requirements in a Collaborative Environment. Download a free trial of Rational Requirements Composer Now! http://p.sf.net/sfu/www-ibm-com _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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