Re: Asset swap spread calculation

Posted by MDecau on Apr 13, 2015; 6:59am
URL: http://quantlib.414.s1.nabble.com/Asset-swap-spread-calculation-tp16457p16461.html

Sorry for my late answer, the week-end was pretty busy.

As a market price, I entered 102.283, which was the market price of this bond on 7th April. Of course, I also entered 07/04/2015 as a trading date (first line of the command prompt) and the yield curve of this date hard coded in the program.

And I got these outputs :
Yield : 0.21102%
Clean price : 102.283000507 (I don't know why I don't have exactly 102.283)
Dirty price : 103.724096
Asset swap spread : 2.99384%

As I said in my first message, all of them are the same than Bloomberg's but the asset swap spread which is 2.9% instead of 0.118%.

Here are some screenshots that I took on 7th April :
YAS.PNG
Output.PNG

Again, thank you for your help!