Posted by
Luigi Ballabio on
Oct 26, 2010; 2:54pm
URL: http://quantlib.414.s1.nabble.com/Need-some-tips-in-order-to-price-a-Brazilian-floating-rate-swap-leg-tp13391p13392.html
On Thu, 2010-09-30 at 23:42 -0300, Piter Dias wrote:
> Here in Brazil we have something called “CDI cash flow” [...] It is
> something like:
>
> · Given a CDI Annual Bus/252 rate, a S Annual Bus/252 spread
> and P a % of CDI
>
> · Calculate TDI = (1+CDI)^(1/252)-1
>
> · Calculate s = (1+S)^(1/252)-1
>
> · Calculate f = (1+TDI*P)*(1+s)
>
> Is QuantLib gearing able to behave the same way as “P” above?
No, I don't think so. In the existing coupons, gearing and spread just
work as g*F + s, with F being some fixing.
> Does QuantLib support multiplicative spread (like S, above)?
Same thing.
Luigi
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