Posted by
Luigi Ballabio on
Apr 10, 2009; 8:53am
URL: http://quantlib.414.s1.nabble.com/clean-market-value-of-a-vanilla-swap-tp7273p7277.html
On Fri, 2009-04-10 at 10:39 +0200, Ferdinando Ametrano wrote:
> Net Present Value stands for... oh well... net present value of all
> future cashflows: accrued amount doesn't enter into the calculation
> since it's not a cashflow.
Yes, that was clear (to Kevin too, I guess.) But since Kevin writes that
> > 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...
...my question is: did Bloomberg introduce a definition of "swap price"
that we weren't aware of? And if so, should we code it?
Luigi
--
A debugged program is one for which you have not yet found the
conditions that make it fail.
-- Jerry Ogdin
------------------------------------------------------------------------------
This SF.net email is sponsored by:
High Quality Requirements in a Collaborative Environment.
Download a free trial of Rational Requirements Composer Now!
http://p.sf.net/sfu/www-ibm-com_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users