Interest Rate Swap

Posted by Marcello Gambacorta COFIRI SIM on Oct 01, 2001; 7:32am
URL: http://quantlib.414.s1.nabble.com/Interest-Rate-Swap-tp1766.html

Hi QuantLibers,
I'm trying to price an Interest Rate Swap with QuantLib but I didn't
understand how to set up the termstructure in C++.
Suppose I want to price the following Swap against Euribor 6m:
SWAP DETAILS:
today:                              1-10-2001
effective date:                  3-10-2001
fixedlegtenor:                   annual
first fixed payment:          3-10-2002
floatinglegtenor                semiannual
first floating payment:      3-4-2002
maturity date:                   3-10-2006
Notional:                          100,000

TERM STRUCTURE DETAILS:
 Deposit(Act/360)
1w  3.82%
1m 3.72%
3m 3.63%
6m 3.53%
9m 3.48%
1y  3.45%
 Swap(30/360)
 2y  3.7125%
 3y  3.98%
 5y  4.43%
 10y 5.165%
 15y 5.5175%

Any idea in C++?
Thanks in advance
Marcello







Marcello Gambacorta
Customer Desk Cofiri SIM S.p.A.
Tel: [phone]
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