Swap valution with eurodollar futures

Posted by ramjig on
URL: http://quantlib.414.s1.nabble.com/Swap-valution-with-eurodollar-futures-tp6459.html

Hi

I am trying to replicate an example from Fabozzi's book. This is to  price a 3 year swap with fixed rate 4.98% and

         // deposits

        Rate d3mQuote=0.0405;

 

        // futures

        Real fut1Quote=95.85;

        Real fut2Quote=95.45;

        Real fut3Quote=95.28;

        Real fut4Quote=95.10;

        Real fut5Quote=94.97;

        Real fut6Quote=94.85;

        Real fut7Quote=94.75;

        Real fut8Quote=94.60;

        Real fut9Quote=94.50;

        Real fut10Quote=94.35;

        Real fut11Quote=94.24;

I followed the swap valuation example provided in Quantlib documentation (dep-future). But the value of the cash flows are different from Fabozzi's book. Coupon rates are also different from second quarter onwards.  For example quantlib computed cupon rate for 3rd quarter was 4.20 instead of 4.55 recorded in the book.

Any suggestions please?

Thanks

Ramji

 

 

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