Floating Legs Libor Sensitivity

Posted by Lluis Pujol Bajador on Oct 17, 2010; 8:40pm
URL: http://quantlib.414.s1.nabble.com/Floating-Legs-Libor-Sensitivity-tp8298.html

  Hi,

I am trying to calculate Libor sensitivity for Floating Rate Bonds but I
don't think that it is a way to do it in Quantlib. (I am trying
tocalculate the sensitivity to interest rate movements of a portfolio of
fixed and floating rate bonds). If I use the bps functions that appears
in Bondfunctions for a FRN then I get sensitivities close to a similar
tenor Fixed Rate Bond.

Additionally if I look to a vanillaswap I do also get similar bps levels
for the floating and fixed leg. I would expect a really low bps for the
floating leg.

Any help?.

Thanks.

Lluis

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