Posted by
Ferdinando Ametrano-4 on
Apr 09, 2009; 9:07am
URL: http://quantlib.414.s1.nabble.com/clean-market-value-of-a-vanilla-swap-tp7273p7274.html
On Wed, Apr 8, 2009 at 10:26 PM, kevinwang <
[hidden email]> wrote:
> I think the NPV() method on vanilla swaps returns the market value/net
> prevent value of both legs of the swap
right
> including the pricipals and accrued
> interests. How can i get the clean market value ( principal) alone? it
> should just be NPV()- accured interest.
even if I can probably guess what you mean, I must confess this is my
first time ever I read about "accrued interest" for a swap, and I've
been working quite a few years on a swap desk. From which need your
question originates? Chances are there might be a more natural way to
achieve what you need.
ciao -- Nando
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