Posted by
Peter Caspers-4 on
URL: http://quantlib.414.s1.nabble.com/pricing-Mark-To-Market-Cross-Currency-Swap-tp17275p17285.html
Hi, seems that the message got too big due to the code you sent. Below
is just my last response therefore.
Regards, Peter
---------- Forwarded message ----------
From: Peter Caspers <
[hidden email]>
Date: 28 January 2016 at 21:38
Subject: Re: [Quantlib-users] pricing Mark-To-Market Cross-Currency Swap
To: dragomir nedeltchev <
[hidden email]>
Cc: QuantLib Mailing Lists <
[hidden email]>
Hi Dragomir,
the problem is that you do not see the actual error message that
QuantLib gives you. That would help a lot: Actually it changed to
another message now saying that the bootstrap fails because of a
non-bracketed root. This is because you use swap quotes like 1.23 for
1.23% but QuantLib expects 0.0123. The same for deposits. Try to amend
this. But first try to get the error message, otherwise you are flying
blindly. Also you are still doing things like
NPVmySwap = NPVUSD - NPVJPY;
where you have to convert the NPVs to a common base currency to get a
sensible result. Therefore, check every intermediate result first, the
discount factors of the curves, the single leg NPVs, maybe even the
single cashlows of each leg..
Regards
Peter
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