Re: Asset swap spread calculation

Posted by MDecau on Apr 13, 2015; 10:34am
URL: http://quantlib.414.s1.nabble.com/Asset-swap-spread-calculation-tp16457p16465.html

I got the same float leg bps, but my swap npv is (very) different : -3.8893.
And my fair spread is of course different (0.029938), since it is the initial problem.