Re: IborIndex and valuation of swaps
Posted by
Lluis Pujol Bajador on
Jul 15, 2009; 7:37pm
URL: http://quantlib.414.s1.nabble.com/IborIndex-and-valuation-of-swaps-tp7810p7813.html
I don't really understand the question but if you try to obtain next floating coupons in order to value a swap then:
- You can value the Swap without knowing the next floating coupon as the floating leg will be 100% plus accrued coupon in the next payment date, you just need to discount it.
- You could obtain the next coupon date from the Forward curve implied in the current curve. To value the swap just discount the cash flows.
Both ways should give you same result.
Anyway I don't thing you need to do anyhing like that, just use built-in Quantlib functions. just look at the swap example.
Lluís
On Wed 15/07/09 09:42 , dhoorens <
[hidden email]> wrote:
Actually my question is more general
Suppose I have to price a swap at 31/12/2008
The only informations I have are the yieldCurve at 31/12/2008 and the
characteristics of the swap (notional, fixrate, index followed by floating
leg, maturity (frequencies of both legs are annual))
How can be the floating rate used for next coupon be determined by these
informations?
My idea was "it must be an input".. but i"m not sure
Tks
David
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