Posted by
dhoorens on
Mar 25, 2010; 9:48am
URL: http://quantlib.414.s1.nabble.com/Swap-Price-QuantLib-vs-Bloomberg-tp8510p8514.html
Hi Kim
Except that I have used the blmbg prices instead of the rates, and that
I have quasi the same value for the Swap (fixed minus float)...
(difference of 8bps => so ok..)
So I guess it's quasi good, but I don't understand the ten factor for
the fixed Leg value.
Indeed I expected a value near the nominal for the fixed leg but with QL
I have ten times less...(1MM instead of 10 MM)???
I have used the function sw->fixedLegNPV()
Tks
David
-----Original Message-----
From: Kim Kuen Tang [mailto:
[hidden email]]
Sent: jeudi 25 mars 2010 10:14
To: HOORENS David
Cc:
[hidden email]
Subject: Re: [Quantlib-users] Swap Price QuantLib vs. Bloomberg
Hi David,
HOORENS David schrieb:
> 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 :-)
>
What i mean is that a fixleg is very trivial. It is only a sum over
fixed * dcf * df.
dcf = daycountfraction, df = discountfactor
So u should get the same as from bloomberg. Did you double check ur
fixedleg ? And did you really pass the yc correctly to ql?
> 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:
>
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