Fwd: Floating errors in the term-structure code?
Posted by
Student T on
Apr 12, 2016; 1:55pm
URL: http://quantlib.414.s1.nabble.com/Fwd-Floating-errors-in-the-term-structure-code-tp17402.html
Hi,
I have an LIBOR index that is linked to a flat forward-curve. Although this is unrealistic, I just want it to test QuantLib's implementation.
My fixed rate is 0.10, so I expect if I put a breakpoint inside QuantLib, I would see it. However, the rate I get is 0.100459737, please take a look at my screenshot.
My suspicion is that QuantLib calculates the forward rate by dividing two discount factors in IborIndex::forecastFixing, and thus causing some floating errors. Am I right?
My code and screenshot are here:
RelinkableHandle<YieldTermStructure> termStructure;
termStructure.linkTo(flatRate(t_, 0.10, Actual360()));
<Create a swap>
std::cout << swap->NPV() << std::endl;

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