Re: Swap valution with eurodollar futures

Posted by ramjig on
URL: http://quantlib.414.s1.nabble.com/Swap-valution-with-eurodollar-futures-tp6459p6465.html

Luigi Ballabio <luigi.ballabio <at> gmail.com> writes:

>
> On Wed, 2009-12-09 at 21:54 -0500, ramjig <at> mail.com 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
>

I sent scaned pages from Faboozi book. I believe admin has to approval to post
it to the list.

Thanks
Ramji



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