Re: Asset swap spread calculation
Posted by MDecau on Apr 13, 2015; 12:37pm
URL: http://quantlib.414.s1.nabble.com/Asset-swap-spread-calculation-tp16457p16467.html
Yes I have this flow. But I understand why you ask that: it's true that my NPV looks just like yours if we remove this cash flow. And it's weird, because the NPV should be the sum of all discounted cash flows, which should be :
floating leg NPV - fixed leg NPV = 103.5613 - 103.7229 = -0.16
These leg NPV are outputs from my program, and they seem consistent. But my swap NPV is still -3.8893.
Or maybe I am not using the right function to get my asset swap NPV. I used the function Instrument.NPV(). Am I wrong?
The settlement date is indeed 09-04-2015.
I tried to change the settlement date to 07-04-2015 as you suggested, but it did not change a thing.