Bloomberg FWCV and QuantLib

Posted by epsteinm on May 24, 2008; 7:09pm
URL: http://quantlib.414.s1.nabble.com/Bloomberg-FWCV-and-QuantLib-tp6177.html

Hi,
Does anybody know how to build a term structure that will produce the same spot rates BBG shows in the FWCV screens?  I am using a Piecewise, Discount, Linear term structure built from deposits and swaps using the coupon levels on the FWCV front screen.  I only agree with BBG spot rates on the cash points.  I have tried every combination of calendars, day counters, business day conventions, compoundings and frequencies for the swap rate helpers, the term structure and the zeroRate method.  I am only sampling the curve at the swap maturities to avoid interpolation effects.  I am able to get close on the front end, but out at the long end i'm off by basis points.

My eventual goal is to match the Z-spread calculated by the YAS screen using the I52 curve.

Thanks in advance,

Marcus Epstein
[hidden email]

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