Posted by
Peter Caspers-4 on
Apr 13, 2015; 12:45pm
URL: http://quantlib.414.s1.nabble.com/Asset-swap-spread-calculation-tp16457p16468.html
no sorry, you should only change the date in the YieldTermStructure
constructor. Just remove marketData.settlementDate and plug in
Date(7,Apr,2015) directly (or the C# equivalent), does that work ?
On 13 April 2015 at 14:37, MDecau <
[hidden email]> wrote:
> 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.
>
>
>
> --
> View this message in context:
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>
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