Vanilla Swap floating leg cashflows
Posted by
suhasg on
Jun 07, 2011; 9:57pm
URL: http://quantlib.414.s1.nabble.com/Vanilla-Swap-floating-leg-cashflows-tp5658.html
I have modified the swapvaluation example to have USDLibor 3M as floating rate. When I compare the cash flows from QuantLib to Barclay's Point (our gold standard for fixed income analytics ) I see that the cash flow dates match exactly but there is a bump in the numbers from Quantlib towards the short end. I don't think it's attributable to different conventions since the dates match and I am using the same deposit and swap rates as Barcalys. I am attaching 2 bmp files that show the floating leg cash flows from both systems. Also attached is my swapvalution.cpp file. Why does the quantlib cashflow go from 18K to 37K to 34K ?
Any help is greatly appreaciated.
Thanks a lot.
cashflows_quantlib.bmpcashflows_point.bmpSwapValuation.cpp