Re: Asset swap spread calculation

Posted by Peter Caspers-4 on Apr 13, 2015; 8:13am
URL: http://quantlib.414.s1.nabble.com/Asset-swap-spread-calculation-tp16457p16462.html

I set up your example (except I use a simplified yield term structure,
just flat @8bp) and get 13bp, which is quite close to BBG. There are
some details one should pay attention to (like asset swaps are OIS
discounted, the front stub period on the float leg is interpolated in
the index), but you are far off. For further investigation, can you
extract the cashflows from the two legs of your swap ?

On my side I get:

fixed leg
July 20th, 2015;2
July 20th, 2016;2
July 20th, 2016;100

float leg
April 9th, 2015;3.7241
July 20th, 2015;0.0223587
January 20th, 2016;0.0403369
July 20th, 2016;0.0398984
July 20th, 2016;100

Which version of QuanLib is the basis for your dot-net-thing ?

Best regards
Peter


On 13 April 2015 at 08:59, MDecau <[hidden email]> wrote:

> 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 <http://quantlib.10058.n7.nabble.com/file/n16461/YAS.PNG>
> Output.PNG <http://quantlib.10058.n7.nabble.com/file/n16461/Output.PNG>
>
> Again, thank you for your help!
>
>
>
> --
> View this message in context: http://quantlib.10058.n7.nabble.com/Asset-swap-spread-calculation-tp16457p16461.html
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>
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