http://quantlib.414.s1.nabble.com/Asset-swap-spread-calculation-tp16457p16460.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
> <
http://quantlib.10058.n7.nabble.com/file/n16459/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());
>
>
>
> --
> View this message in context:
http://quantlib.10058.n7.nabble.com/Asset-swap-spread-calculation-tp16457p16459.html> Sent from the quantlib-users mailing list archive at Nabble.com.
>
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