Hello Jean-Mathieu,
Are you sure a 1D optimization loop is necessary? I think one can still use the classic formula :
fairSpread1_ = spread1_ - NPV_/(legBPS_[0]/basisPoint);
Best,
Pierre
From: Jean-Mathieu Vermosen [mailto:[hidden email]]
Sent: Monday, September 08, 2014 12:17 PM
To: Grison PG Pierre (External DEXIA-US)
Cc: [hidden email]
Subject: 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
------------------------------------------------------------------------------
Want excitement?
Manually upgrade your production database.
When you want reliability, choose Perforce
Perforce version control. Predictably reliable.
http://pubads.g.doubleclick.net/gampad/clk?id=157508191&iu=/4140/ostg.clktrk_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users
_____________________________________________________________________________
Scanned by IBM Email Security Management Services powered by MessageLabs. For more information please visit
http://www-935.ibm.com/services/us/index.wss/offerfamily/iss/a1026954
_____________________________________________________________________________
| Free forum by Nabble | Edit this page |