Hi Cheng,
You’re right and that’s what I have done.
Thanks for your help,
Pierre
From: cheng li [mailto:[hidden email]]
Sent: Thursday, September 11, 2014 4:38 AM
To: 'Jean-Mathieu Vermosen'; Grison PG Pierre (External DEXIA-US)
Cc: [hidden email]
Subject: 答复: [Quantlib-users] single currency basis swap pricing
Hi Pierre,
If the basis swap you are interested in is vanilla ( here I mean there is no non-linear transformation on the rates, e.g. cap, floor..), you can use the trick
that swap NPV is linearly depends on leg BPS which is already used in VanillaSwap class.
As BPSs are already calculated in Swap class, you can simply calculate the fair spread using arithmetic like what VanillaSwap do.
Regards,
Cheng
发件人: Jean-Mathieu Vermosen
[[hidden email]]
发送时间: 2014年9月9日
0:17
收件人: Grison PG Pierre (External DEXIA-US)
抄送:
[hidden email]
主题: Re: [Quantlib-users] single currency
basis swap pricing
Hi Pierre,
I’m not sure the floatfloatswap class is fully functional right now.
Alternatively, you can build each leg using its predefined constructor (iborLeg in ql/cashflows/iborCoupon.hpp, OvernightLeg in ql/cashflows/overnightindexedcoupon.hpp, etc) and pass the legs to the generic quantlib::swap constructor.
However, getting the fair spread value requires to set some 1D optimization loop, and I doubt this functionality has been implemented yet except for the fixed/float vanillaSwap class.
Best,
Jean-Mathieu Vermosen
On Sep 8, 2014, at 9:51 AM, Grison PG Pierre (External DEXIA-US) <[hidden email]> wrote:
Hello everyone,
Does anyone know how it is possible to price basis swap with QL (floating vs floating : ibor/ibor, ON index/ON index and ibor vs ON index)? Is the floatfloatswap class the most appropriate tool to calculate fair spread ?
Thank you,
Pierre
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