forward swap rate

Hi all, I hope you can help me: how can I calculate forward swap rates in QuantlibXL? Is there a specified QuantlibXL function (e.g like "qlYieldTSForwardRate" but for swap)?
Thx in advance,
Stefano


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[Ferdinando M. Ametrano-2]

stefano sampietro wrote:
> how can I calculate forward swap rates in QuantlibXL?
> Is there a specified QuantlibXL function (e.g like "qlYieldTSForwardRate" but for swap)?

if you only need the atm rate (not the npv, etc) the best approach is
to instantiate a SwapIndex object (a.g. qlEuriborSwapIsdaFixA or the
generic qlSwapIndex) and then ask the rate with qlIndexFixing

for a full swap valuation you can use qlMakeVanillaSwap instead

ciao -- Nando

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Thx for your answer, Nando, I think I will use qlMakeVanillaSwap() associated with qlVanillaSwapFairRate() in order to get "rolling" fwd swap rates (i.e. with progression of forward start dates).

Just another question: qlMakeVanillaSwap requires an IborIndex object and I create it by qlIborIndex (I hope it is correct). What is the meaning of the third parameter of qlIborIndex ("Tenor"), is it the payment frequency of the cash flows of the swap? Why the final result from qlVanillaSwapFairRate (i.e. the forward swap rate) does not change if I change such "Tenor" parameter? (I would expect little changes...)

Thx in advance
ciao
Stefano



---------- Initial Header -----------

>From      : "Ferdinando M. Ametrano" [hidden email]
To          : "stefano sampietro" [hidden email]
Cc          : "quantlib-users" [hidden email]
Date      : Mon, 28 Jun 2010 12:35:35 +0200
Subject : Re: [Quantlib-users] forward swap rate

> stefano sampietro wrote:
> > how can I calculate forward swap rates in QuantlibXL?
> > Is there a specified QuantlibXL function (e.g like "qlYieldTSForwardRate" but for swap)?
>
> if you only need the atm rate (not the npv, etc) the best approach is
> to instantiate a SwapIndex object (a.g. qlEuriborSwapIsdaFixA or the
> generic qlSwapIndex) and then ask the rate with qlIndexFixing
>
> for a full swap valuation you can use qlMakeVanillaSwap instead
>
> ciao -- Nando
>
>
>

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[Ferdinando M. Ametrano-2]

stefano sampietro wrote:

> What is the meaning of the third parameter of qlIborIndex ("Tenor"),
> is it the payment frequency of the cash flows of the swap?
No. It's the tenor of the Euribor/Libor index, as in Euribor 6M.
There's nothing about swap in the IborIndex definition

> Why the final result from qlVanillaSwapFairRate (i.e. the forward swap rate)
> does not change if I change such "Tenor" parameter? (I would expect little changes...)

if you're using the same curve for IborIndex forwarding and for swap's
cashflows discounting, then the floating leg frequency (which is ruled
by the IborIndex tenor) is irrelevant for the so-called floating leg
telescopic property

ciao -- Nando

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