Check day counts, business day convention, interpolation method, etc.
Dale Smith, Ph.D.
Senior Financial Quantitative Analyst
Risk & Compliance
From: Segalini Cyrille [mailto:Cyrille.Segalini@...]
Sent: Thursday, February 21, 2013 10:46 AM
Subject: [Quantlib-users] Problems with forward rates
I'm quite new at quantlib and I'm using quantlibXL as an introduction.
I've been trying to price a swap recently, just to be sure my
understanding is correct. Yet, I do not manage with getting the correct
My example is attached and is based on one of the standalone example in
quantlibXL. You'll see that my forward rate in my floating leg are not
correct (checked with Bloomberg and the common formula).
Can anyone help me on that. I must have missed something.
By the way, nice tool. Thanks !