Re: clean market value of a vanilla swap

Posted by kevinwang on Apr 11, 2009; 6:46pm
URL: http://quantlib.414.s1.nabble.com/clean-market-value-of-a-vanilla-swap-tp7273p7278.html

in the SWPM screen of Bloomberg, there are a few items available for vanilla swaps:

 

market value //as the NPV we have in Quantlib

accrued //accrued amount from last coupon payment to valuation date

principal //market value minus accrued, this is the "clean market value"

premium //principal divided by notional, this is the "price" we usually refer to.

 

Do we have some methods in Quantlib for "Accured" and "Premium"?

 

BTW, what are the FloatLegBPS and FloatLegNPV for?

Thanks

Kevin

On Fri, Apr 10, 2009 at 3:53 AM, Luigi Ballabio <[hidden email]> wrote:

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

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