Re: forward swap rate

Posted by on
URL: http://quantlib.414.s1.nabble.com/forward-swap-rate-tp8228p8229.html

Thx for your answer, Nando, I think I will use qlMakeVanillaSwap() associated with qlVanillaSwapFairRate() in order to get "rolling" fwd swap rates (i.e. with progression of forward start dates).

Just another question: qlMakeVanillaSwap requires an IborIndex object and I create it by qlIborIndex (I hope it is correct). What is the meaning of the third parameter of qlIborIndex ("Tenor"), is it the payment frequency of the cash flows of the swap? Why the final result from qlVanillaSwapFairRate (i.e. the forward swap rate) does not change if I change such "Tenor" parameter? (I would expect little changes...)

Thx in advance
ciao
Stefano



---------- Initial Header -----------

>From      : "Ferdinando M. Ametrano" [hidden email]
To          : "stefano sampietro" [hidden email]
Cc          : "quantlib-users" [hidden email]
Date      : Mon, 28 Jun 2010 12:35:35 +0200
Subject : Re: [Quantlib-users] forward swap rate

> stefano sampietro wrote:
> > how can I calculate forward swap rates in QuantlibXL?
> > Is there a specified QuantlibXL function (e.g like "qlYieldTSForwardRate" but for swap)?
>
> if you only need the atm rate (not the npv, etc) the best approach is
> to instantiate a SwapIndex object (a.g. qlEuriborSwapIsdaFixA or the
> generic qlSwapIndex) and then ask the rate with qlIndexFixing
>
> for a full swap valuation you can use qlMakeVanillaSwap instead
>
> ciao -- Nando
>
>
>

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