Re: Swap valuation with eurodollar futures

Posted by ramjig on
URL: http://quantlib.414.s1.nabble.com/Swap-valution-with-eurodollar-futures-tp6459p6464.html

Faboozi calculated casflows as follows.

 

Futures rate = 100 -Eurodollar Future Price. (In the following table second column represents futures rate).

 

Cash flow = notional amount  * futures rate * ( days in period / 360). The first column represents cash flow per each quarter.

 

period forward rate = annual forward rate * (days in period / 360)

 

forward discount factor of period 1  = 1 /  (1 + (period forward rate of 1 /100) )

 

In general

     forward discount factor of period t = 1  / (  (1 + (period forward rate of 1 /100) ) * (1 + (period forward rate of 2 /100) ) * .... * (1 + (period forward rate of t /100) )  )

 

PV of Cash flow of period t =  Cash flow of period t *  forward discount factor of period t.

 Last column in the followig table was calculated using the above formula.

 

 

Amount: 1012500-----Rate:0.0405----Days: 90 --- 1002351 (PV of Cash Flow)
Amount: 1049028-----Rate:0.0415----Days: 91 --- 1027732
Amount: 1162778-----Rate:0.0455----Days: 92 --- 1126079
Amount: 1206222-----Rate:0.0475----Days: 92 --- 1154229
Amount: 1225000-----Rate:0.0490----Days: 90 --- 1158012
Amount: 1271472-----Rate:0.0503----Days: 91 --- 1186852
Amount: 1316111-----Rate:0.0515----Days: 92 --- 1212562
Amount: 1341667-----Rate:0.0525----Days: 92 --- 1219742
Amount: 1350500-----Rate:0.0540----Days: 90 --- 1210970
Amount: 1390278-----Rate:0.0550----Days: 91 --- 1229999
Amount: 1443889-----Rate:0.0565----Days: 92 --- 1259248
Amount: 1472000-----Rate:0.0576----Days: 92 --- 1265140

 

Thanks

Ramji

-----Original Message-----
From: Luigi Ballabio <[hidden email]>
To: [hidden email]
Cc: [hidden email]
Sent: Thu, Dec 10, 2009 4:10 am
Subject: Re: [Quantlib-users] Swap valution with eurodollar futures

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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