Posted by
Peter Caspers-4 on
Apr 13, 2015; 10:21am
URL: http://quantlib.414.s1.nabble.com/Asset-swap-spread-calculation-tp16457p16464.html
I don't think that these differences are serious. What about the float
leg bps and swap npv ?
fair spread 0.0013154
float leg bps 0.0129909
npv -0.170883
On 13 April 2015 at 11:21, MDecau <
[hidden email]> wrote:
> 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.
>
>
>
> --
> View this message in context:
http://quantlib.10058.n7.nabble.com/Asset-swap-spread-calculation-tp16457p16463.html> Sent from the quantlib-users mailing list archive at Nabble.com.
>
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