Posted by
ramjig on
Dec 20, 2009; 8:58pm
URL: http://quantlib.414.s1.nabble.com/Swap-valuation-with-eurodollar-futures-tp1041.html
I used NullCalendar still noticing the rates are not close to Fabozzi's numbers. Any suggestions?
Thanks
Ramji
------------------------------
Faboozi calculated casflows as follows.
Futures rate = 100 -Eurodollar Future Price. (In the following table second column represents futures rate).
Cash flow = notional amount * futures rate * ( days in period / 360). The first column represents cash flow per each quarter.
period forward rate = annual forward rate * (days in period / 360)
forward discount factor of period 1 = 1 / (1 + (period forward rate of 1 /100) )
In general
forward discount factor of period t = 1 / ( (1 + (period forward rate of 1 /100) ) * (1 + (period forward rate of 2 /100) ) * .... * (1 + (period forward rate of t /100) ) )
PV of Cash flow of period t = Cash flow of period t * forward discount factor of period t.
Last column in the followig table was calculated using the above formula.
Amount: 1012500-----Rate:0.0405----Days: 90 --- 1002351 (PV of Cash Flow)
Amount: 1049028-----Rate:0.0415----Days: 91 --- 1027732
Amount: 1162778-----Rate:0.0455----Days: 92 --- 1126079
Amount: 1206222-----Rate:0.0475----Days: 92 --- 1154229
Amount: 1225000-----Rate:0.0490----Days: 90 --- 1158012
Amount: 1271472-----Rate:0.0503----Days: 91 --- 1186852
Amount: 1316111-----Rate:0.0515----Days: 92 --- 1212562
Amount: 1341667-----Rate:0.0525----Days: 92 --- 1219742
Amount: 1350500-----Rate:0.0540----Days: 90 --- 1210970
Amount: 1390278-----Rate:0.0550----Days: 91 --- 1229999
Amount: 1443889-----Rate:0.0565----Days: 92 --- 1259248
Amount: 1472000-----Rate:0.0576----Days: 92 --- 1265140
Thanks
Ramji
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