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Re: Swap Price QuantLib vs. Bloomberg

Posted by dhoorens on Mar 25, 2010; 7:30am
URL: http://quantlib.414.s1.nabble.com/Swap-Price-QuantLib-vs-Bloomberg-tp8510p8512.html

So if I understand you well, you tell me that by changing the yieldCurve
I will obtain exactly what Bloomberg gives me
If it is the case, I can believe you :-)

But I have a problem with the fixed and floating leg values. Why are
they so different
FixLeg: QL = ~1MM
FixLeg: Blmbg: = ~10MM
??

Tks
David


-----Original Message-----
From: Kim Kuen Tang [mailto:[hidden email]]
Sent: mercredi 24 mars 2010 14:21
To: HOORENS David
Cc: [hidden email]
Subject: Re: [Quantlib-users] Swap Price QuantLib vs. Bloomberg


Hi David,

without going into detail of your code i would say that this is related
in the way how you created the yc in quantlib.
You should get the same result from blmbg if the discountfactors
together with the maturities are correctly passed to ql.
I would say just double check your yc in ql again and the leg you
created. ( Better dont take the discountfactors from blmbg, take the
swap quotes from blmbg and bootstrap a yc in ql, then compare the
discountfactors between blmbg and ql)


dhoorens schrieb:
>
> Here are the questions
> Why do I have differences with Bloomberg.
> Is QuantLib coherent with Blmbg?
>  
This has nothing to do with ql. A yc is uniquely determined by its
calibration instruments ( bonds, futures, swap,..) and other conventions

( interpolations, daycounter,...)
If everythings are equivalent then the resulting ycs should be the same
and as a consequence the pricing should also be the same.

Cheers,
Kim

> Why the market value of each leg is so different (Blmg vs QuantLib)?
> (example QuantLIb FixLegNPV = 1042596.49   and Blmbg FixLegNPV =
9904395.99)
>
> Tks
> David
> http://old.nabble.com/file/p28014072/QL_Blmbg.zip QL_Blmbg.zip
>  




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