Re: forward swap rate

Posted by Ferdinando M. Ametrano-2 on
URL: http://quantlib.414.s1.nabble.com/forward-swap-rate-tp8228p8231.html

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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