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Re: Asset swap spread calculation

Posted by Peter Caspers-4 on Apr 10, 2015; 3:18pm
URL: http://quantlib.414.s1.nabble.com/Asset-swap-spread-calculation-tp16457p16458.html

Hi,

can you post the code or spreadsheet you used for the calculation ?

best regards
Peter


On 10 April 2015 at 14:00, MDecau <[hidden email]> wrote:

> Hello!
>
> I am trying to get the asset swap spread of a bond.
> I set up the bond, an Ibor curve, and an asset swap with these two elements.
> After setting the pricing engine, I called the fairSpread function on the
> new asset swap.
>
> I did all of these with real market data (from Bloomberg), in order to test
> my results. Everything works fine (the bond valuation), except the asset
> swap spread, which is very far from the one provided by Bloomberg (2.994%
> with Quantlib and 0.118% with Bloomberg).
>
> Because every results on the bond is good, my mistake has to be in the set
> up of the asset swap. Or maybe the fairSpread function does not do what I
> think. I tried to go inside the code of Quantlib, but it is very complex, I
> have a hard time to understand it.
>
> I can't figure out what is wrong with it, I thought about it for a while and
> I am really stuck. It may be an easy thing to do, but I'm still learning.
> What could I do to fix this? How can I calculate the asset swap spread of a
> bond?
>
> Thank you for your help
>
>
>
> --
> View this message in context: http://quantlib.10058.n7.nabble.com/Asset-swap-spread-calculation-tp16457.html
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>
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