http://quantlib.414.s1.nabble.com/clean-market-value-of-a-vanilla-swap-tp7273p7276.html
Net Present Value stands for... oh well... net present value of all
>
> Hi, Nando, thanks for your reply. sorry if i did not make it clear. when we
> price a swap, shall we price it to the clean market value?
>
> Let us say we need to price a vanilla swap mark to market. it is a 5 year
> swap with notional of 100mm in USD. the fixed leg is 2.456%, semi-annual,
> the floating leg is 3month libor, quarterly.
>
> the trade setttlement date was January 1st, 2009.
> Valuation Date is today: Apr 9th,
> so the market value = total discounted cash flow = NPV = 90,968,492.
>
> but
>
> for the fixed leg, from the time period of about 98 days between settlement
> date Jan 1st, 2009 to the valuation date Apr 9th, 2009, these is an accrued
> amount of 100mm * 2.456% * 98/360
>
> for the fixed leg, from the time period of 8 days between last coupon date
> apr 1st, 2009 to the valuation date Apr 9th, 2009, these is an accrued
> amount of 100mm * the fixing rate * 8/360
>
> I think we need to deduct the accrued amount from the NPV to get the clean
> market value so that we can calculate the price of the swap as 1-
> clean_market_value/ notional. this seems to be what Bloomberg does...
>
> Thanks
>
>
>
>
>
> Ferdinando Ametrano-4 wrote:
>>
>> 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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