Re: Asset swap spread calculation

Posted by MDecau on Apr 13, 2015; 9:21am
URL: http://quantlib.414.s1.nabble.com/Asset-swap-spread-calculation-tp16457p16463.html

Three of my floating leg cash flows are different from yours. They are :

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

float leg
April 9th, 2015;3.7240964
July 20th, 2015;0.0343361 (different from your 0.0223587)
January 20th,0.0148592 (different from your 2016;0.0403369)
July 20th, 2016;0.0587326 (different from your 0.0398984)
July 20th, 2016;100

And I'm not really sure of the version of QuantLib on which QLNet is based. I think it was developped in 2009, but every commit on QuantLib is replicated shortly on QLNet, which makes it pretty comprehensive.