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Re: Asset swap spread calculation

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:

> 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.
>
>
>
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> View this message in context: http://quantlib.10058.n7.nabble.com/Asset-swap-spread-calculation-tp16457p16465.html
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