Posted by
Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/VanillaSwap-evaluation-between-effective-and-termination-date-tp383p387.html
On Tue, 2011-07-05 at 12:23 +0200, Jicun Zhong wrote:
> Thanks a lot for the analysis. It is much more clear now. However, the
> fact that QuantLib assumes that today's fixing is not available and go
> ahead to forecast it from the curve is a bit scary.
Yes, but that's the only thing you can do in the morning, before the
LIBOR fixing is published.
> For the current case where the 6Month LIBOR is provided as part of
> the depo rate the difference between forecasted and the provided 6M
> rate won't be large. However if the 6Month depo rate is not provided
> and a linear interpolation is done between 3M and 9M, then there is
> surely error. If I explicitly set in a fixing on Sept 20, 2004, will
> QuantLib use that instead of do its own forecasting?
It will use the one you set explicitly (which is what usually happens in
the afternoon.)
Luigi
--
Grabel's Law:
2 is not equal to 3 -- not even for large values of 2.
------------------------------------------------------------------------------
All of the data generated in your IT infrastructure is seriously valuable.
Why? It contains a definitive record of application performance, security
threats, fraudulent activity, and more. Splunk takes this data and makes
sense of it. IT sense. And common sense.
http://p.sf.net/sfu/splunk-d2d-c2_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users