Inaccuracy in swap curve construction

Posted by Tanvi Tiwari on Aug 05, 2015; 5:51pm
URL: http://quantlib.414.s1.nabble.com/Inaccuracy-in-swap-curve-construction-tp16763.html

Hello everyone,

I recently implemented QuantLib in Java and am working on a simple curve construction project. However, I notice that the region of the curve that is generated by swaps (I use swaps, futures, and libor rates) is not matching values from Calypso, when compared directly or used in valuation.

Has anyone else experienced this problem or have any advice?

Thanks,
Tanvi

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