Re: Swap valution with eurodollar futures

Posted by Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/Swap-valution-with-eurodollar-futures-tp6459p6461.html

On Mon, 2009-12-07 at 23:48 -0500, [hidden email] wrote:

> 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.

Do you have more details?  For instance, how do you extract coupon rates
from QuantLib? And what does Fabozzi do?

Luigi



--

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all his clothes off and jumped in a mess of cactus. I asked him that
same question, "Why?"
Calvera: And?
Vin: He said, "It seemed like a good idea at the time."
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