Re: Calcualting Bond Price from The ASW (asset swap) spread

Posted by Peter Caspers-4 on Apr 30, 2016; 12:03pm
URL: http://quantlib.414.s1.nabble.com/Calcualting-Bond-Price-from-The-ASW-asset-swap-spread-tp17428p17429.html

Hi Zahar,

I would say, compute the NPV p of the AssetSwap (using the
DiscountingSwapEngine with an appropriate OIS curve reflecting the CSA
of the asset swap), then the clean bond price as of settlement = first
accrual start date of the swap's float leg is simply 100.0 - p. If you
need the bond price as of a different date, discount / compound it
using your bond discounting curve.

Kind Regards,
Peter

On 28 April 2016 at 11:58, Zabed <[hidden email]> wrote:

> Hello Team Dev,
>
> Can someone please help me pricing a bullet maturity bond with fixed coupon
> from the ASW spread using QuantLib?
> I know how to get the ASW spread (over month Libor) from the bond price, but
> would like to price the bond from the ASW spread (L +ASW)
> Greatly appreciated.
>
> Kindest Regards
> Zahar
>
>
>
>
> --
> View this message in context: http://quantlib.10058.n7.nabble.com/Calcualting-Bond-Price-from-The-ASW-asset-swap-spread-tp17428.html
> Sent from the quantlib-dev mailing list archive at Nabble.com.
>
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