Swap evaluation problem

Posted by Nathan Abbott on Aug 04, 2008; 11:33pm
URL: http://quantlib.414.s1.nabble.com/Swap-evaluation-problem-tp6406.html

I have have been using QuantLib 0.9.0 with Visual Studio 2005 and boost 1.34.1. When I compile and run the swap example, I get the following output.

Today: Monday, September 20th, 2004
Settlement date: Wednesday, September 22nd, 2004
====================================================================
5-year market swap-rate = 4.43 %
====================================================================
        5-years swap paying 4.00 %
term structure | net present value | fair spread | fair fixed rate |
--------------------------------------------------------------------
     depo-swap |          19065.88 |     -0.42 % |          4.43 % |
 depo-fut-swap |          19076.14 |     -0.42 % |          4.43 % |
 depo-FRA-swap |          19056.02 |     -0.42 % |          4.43 % |
--------------------------------------------------------------------
        5-years, 1-year forward swap paying 4.00 %
term structure | net present value | fair spread | fair fixed rate |
--------------------------------------------------------------------
     depo-swap |          40049.46 |     -0.92 % |          4.95 % |
 depo-fut-swap |          40092.79 |     -0.92 % |          4.95 % |
 depo-FRA-swap |          37238.92 |     -0.86 % |          4.88 % |
====================================================================
5-year market swap-rate = 4.60 %
====================================================================
        5-years swap paying 4.00 %
term structure | net present value | fair spread | fair fixed rate |
--------------------------------------------------------------------
     depo-swap |          26539.06 |     -0.58 % |          4.60 % |
 depo-fut-swap |          26553.34 |     -0.58 % |          4.60 % |
 depo-FRA-swap |          26525.34 |     -0.58 % |          4.60 % |
--------------------------------------------------------------------
        5-years, 1-year forward swap paying 4.00 %
term structure | net present value | fair spread | fair fixed rate |
--------------------------------------------------------------------
     depo-swap |          45736.04 |     -1.06 % |          5.09 % |
 depo-fut-swap |          45782.40 |     -1.06 % |          5.09 % |
 depo-FRA-swap |          42922.60 |     -0.99 % |          5.02 % |
 
Run completed in 0 s

This is the same output since I have been using QuantLib when it was at version 0.2.14.

When I compile and run the swap example from QuantLib 0.9.5 with boost 1.34.1 or boost 1.35.0 and with Visual Studio 2005 I get the following output.


Today: Monday, September 20th, 2004
Settlement date: Wednesday, September 22nd, 2004
====================================================================
5-year market swap-rate = 4.43 %
====================================================================
        5-years swap paying 4.00 %
term structure | net present value | fair spread | fair fixed rate |
--------------------------------------------------------------------
     depo-swap |          19070.25 |     -0.42 % |          4.43 % |
 depo-fut-swap |          19080.84 |     -0.42 % |          4.43 % |
 depo-FRA-swap |          19060.39 |     -0.42 % |          4.43 % |
--------------------------------------------------------------------
        5-years, 1-year forward swap paying 4.00 %
term structure | net present value | fair spread | fair fixed rate |
--------------------------------------------------------------------
     depo-swap |          35018.92 |     -0.81 % |          4.83 % |
 depo-fut-swap |          35106.66 |     -0.81 % |          4.83 % |
 depo-FRA-swap |          32208.70 |     -0.74 % |          4.76 % |
====================================================================
5-year market swap-rate = 4.60 %
====================================================================
        5-years swap paying 4.00 %
term structure | net present value | fair spread | fair fixed rate |
--------------------------------------------------------------------
     depo-swap |          26539.06 |     -0.58 % |          4.60 % |
 depo-fut-swap |          26553.34 |     -0.58 % |          4.60 % |
 depo-FRA-swap |          26525.34 |     -0.58 % |          4.60 % |
--------------------------------------------------------------------
        5-years, 1-year forward swap paying 4.00 %
term structure | net present value | fair spread | fair fixed rate |
--------------------------------------------------------------------
     depo-swap |          45736.04 |     -1.06 % |          5.09 % |
 depo-fut-swap |          45782.40 |     -1.06 % |          5.09 % |
 depo-FRA-swap |          42922.60 |     -0.99 % |          5.02 % |
 
Run completed in 0 s

The first six results are different. The 5-years, 1-year forward swap with the swap rate a 4.43% results are way off. Am I the only one getting this result?

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