Posted by
Peter Caspers-4 on
Apr 13, 2015; 10:44am
URL: http://quantlib.414.s1.nabble.com/Asset-swap-spread-calculation-tp16457p16466.html
sorry to ask again, you have this flow here
April 9th, 2015;3.7240964
?
Maybe it is because you set the reference date for the yts to
"settlementDate" (is this 09-04-2015 ?), so this flow is missing in
the swap NPV ?
YieldTermStructure depoSwapTermStructure = new
PiecewiseYieldCurve<Discount, LogLinear>(
Program.currentMarketData.settlementDate,
depoSwapInstruments,
termStructureDayCounter,
new List<Handle<Quote>>(),
new List<Date>(),
tolerance);
Can you try to change "settlementDate" to "tradeDate" (or whatever
variable that is set to the 07-04-2015) ?
On 13 April 2015 at 12:34, MDecau <
[hidden email]> wrote:
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