Re: Asset swap spread calculation

Posted by MDecau on Apr 10, 2015; 3:48pm
URL: http://quantlib.414.s1.nabble.com/Asset-swap-spread-calculation-tp16457p16459.html

Sure. But I should first let you know that I am not using the real QuantLib, but QLNet instead, which is just the C# version of Quantlib. I guess you're also familiar with it, it is almost always exactly the same structures and function names.

Here is a link to download the code of my small test program (only 4 small files, but don't forget to add a reference to QLNet dll) : Bond_pricer_test.zip

And here is the part that does not work (at the far end of the FixedRateBondProcess class) :

            IPricingEngine assetSwapEngine = new DiscountingSwapEngine(Program.currentYieldCurves.discountingTermStructure);

            AssetSwap assSwap = new AssetSwap(true, fixedRateBond, fixedRateBond.cleanPrice(yield, dc, Compounding.Compounded, Frequency.Annual), new Euribor6M(Program.currentYieldCurves.discountingTermStructure), 0);
           
            assSwap.setPricingEngine(assetSwapEngine);

            Console.WriteLine("Asset Swap Spread = " + assSwap.fairSpread());