Posted by
Nils Tobias Kramer on
URL: http://quantlib.414.s1.nabble.com/question-on-YieldTermStructure-forwardRate-tp14955p14956.html
Hi Whit,
Maybe I'm misunderstanding you and I didn't look at the code.
FRA is a single forward rate calculated by two discount factors on the same curve and a swap par rate is a bit more complex to calculate. You have two curves to calculate, the first to get the forward rates and then a second to discount your cashflows. You can check wikipedia to see how the fair rate of a swap is calculated.
Toby
> On 11.02.2014, at 19:29, Whit Armstrong <
[hidden email]> wrote:
>
> I have a question on the forwardRate function of YieldTermStructure.
>
> When I bootstrap a yield curve and calc the 5yr5yr forward rate using
> the forwardRate function, it does not match the 'fairRate' calculated
> from an actual VanillaSwap object using the same forward dates.
>
> Is this expected, and if so, is there something I can do to my
> forwardRate call to adjust the rate to match the par swap rate of the
> forward dates?
>
> See this link for an example which prints both rates.
>
> The rate calculated from the forwardRate function is consistently
> higher over historical dates (by about 1.5 bpts) than the rate
> calculated by the fairRate function.
>
> Any insight would be much appreciated.
>
> -Whit
>
>
>
https://gist.github.com/armstrtw/8940881>
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