Swap Valuation- Setting the LIBOR/IBOR rate ?

Posted by vema on
URL: http://quantlib.414.s1.nabble.com/Swap-Valuation-Setting-the-LIBOR-IBOR-rate-tp5313.html

Hi, I am trying to evaluate the NPV of a plain swap whose settlement date is say (Oct 1, 2007) and matures say in 10 years. The fixed leg has a Semi-annual cash flow frequency and the floating leg an Annual cash flow. From the definition of plain swaps, the value of the first floating coupon depends on the LIBOR rate 6 months ago and the remaining coupon rates are calculated via the bootstrapping and interpolation of the yield curve. So suppose the LIBOR rate is 4.3% so how do i set this? I cannot find a way of inserting the currnet LIBOR rate into evaluating the NPV swap. One work around is probably by inserting a depo of 6 months with 4.3% but in that case the term structrre curves wouldnt be correct ? Thanks a lot for your response. vema