Re: Swap valution with eurodollar futures

Posted by Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/Swap-valution-with-eurodollar-futures-tp6459p6463.html

On Wed, 2009-12-09 at 21:54 -0500, [hidden email] wrote:
> Faboozi
>  First column is Floating Cash flow at End of Quarter, and last column
> is PV
> of cash flow.

How does Fabozzi calculate the above?

Luigi


--

Grabel's Law:
2 is not equal to 3 -- not even for large values of 2.



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