Re: Followup: Excel YC_SwapDemo.xls questions

Posted by Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/Simple-Code-tp4403p4411.html

On 2/2/06, zheng wang <[hidden email]> wrote:

> Luigi Ballabio <[hidden email]> wrote:
> On 1/25/06, zheng wang wrote:
> > One more: the BPS in the SimpleSwap has numbers of over 8,000,000
> > which seems too big. what is the definition for it?
>
> It is the variation of the NPV of a leg when the paid rate changes of
> a basis point. Whether it's too big or not depends on the notional of
> the swap. What parameters were you using?
>
> The sample excel YC_SwapDemo.xls, which has notional of 1,000,000
> but the BPS is 8 times bigger.

Hmm. It doesn't look right. Then again, I'm not familiar with the Excel add-in.
Eric, can you step in?

Thanks,
    Luigi