Posted by
Ferdinando Ametrano-4 on
Apr 13, 2009; 7:38am
URL: http://quantlib.414.s1.nabble.com/clean-market-value-of-a-vanilla-swap-tp7273p7279.html
On Sat, Apr 11, 2009 at 8:46 PM, Kevin Wang <
[hidden email]> wrote:
> 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"?
not for the bond, but they could be easily implemented. If I implement
them, would you cross check with Bloomberg values?
> BTW, what are the FloatLegBPS and FloatLegNPV for?
FloatLegNPV is the NPV of the floating leg alone, while BPS stands for
basis point sensitivity, i.e. the change in the NPV for a change of 1
basis point in the leg coupon. The same applies to FixedLegNPV and
FixedLegBPS, of course
ciao -- Nando
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