Posted by
Whit Armstrong on
URL: http://quantlib.414.s1.nabble.com/question-on-YieldTermStructure-forwardRate-tp14955p14957.html
Thanks, Toby.
What I really want to know is whether there is a more elegant way to
calculate the fairRate for the swap without having to build the whole
swap object (fixed schedule, float schedule, fakeNotional,
fakeCoupon).
All I really want to do is ask QL,
given this discount curve, and these conventions (Semi, vs 3mL) what
is the fair rate of the swap?
I realize that building out the swap is in fact giving QL the
definitive conventions, but it all seems a bit cumbersome to build a
swap w/ a fake coupon, just to pull the 'fairRate' back out of it.
-Whit
On Tue, Feb 11, 2014 at 2:08 PM, Nils Tobias Kramer
<
[hidden email]> wrote:
> 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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