Re: qlIborLeg in QuantLibXL returns all forward floating coupons zero!

Posted by christos.arvanitis on Sep 20, 2016; 9:45am
URL: http://quantlib.414.s1.nabble.com/qlIborLeg-in-QuantLibXL-returns-all-forward-floating-coupons-zero-tp17732p17742.html

Hi Luigi

I am sending you the excel screens as requested. Hope are easy to read

Best

Christos

 

 

 

 

 

 

 

 

 

From: Luigi Ballabio [mailto:[hidden email]]
Sent: Monday, September 19, 2016 10:21 PM
To: chrarv; [hidden email]
Subject: Re: [Quantlib-users] qlIborLeg in QuantLibXL returns all forward floating coupons zero!

 

May you send the parameters you're passing to the calls?

 

Luigi

 

 

On Mon, Sep 19, 2016 at 9:19 PM chrarv <[hidden email]> wrote:

Hello to everyone
I am trying to price an amortized swap in QuantLibXL and for the floating
leg (fixed leg works fine!) I am using the class qlIborLeg. After passing
all the input parameters as schedule and amortization as well as the Ibor
index (Euribor 6M in this case) the object is created without errors.
Then I use the swap class and pass it as the floating part of the swap
class. It appears that all the floating forward cashflows of the swap are
zero and the NPV of the swap is coming only from the fixed leg!!!
One can verify that indeed the forward floating coupons are all zero by
using the qlSwapLegAnalysis function
What am I doing wrong please advise!
Thanks in advance for your help

Best
Christos Arvanitis



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