[Quantlib-dev] Need some tips in order to price a Brazilian floating rate swap leg

[Piter D. <pit...@pi...>]

Guys,

 

Here in Brazil we have something called "CDI cash flow" that is basically a
floating rate cash flow with daily resets (CDI is an overnight rate) with no
homogenous payment (could periodically, at maturity, tailor made, etc.)
where we could apply either "% CDI" to the 1 day forward rates or
multiplicative spread.

 

It is something like:

.         Given a CDI Annual Bus/252 rate, a S Annual Bus/252 spread and P a
% of CDI

.         Calculate TDI = (1+CDI)^(1/252)-1

.         Calculate s = (1+S)^(1/252)-1

.         Calculate f = (1+TDI*P)*(1+s)

 

So, "f" is an one day rate. In order to forecast the cash flow we multiply
all implied "f" from a floating curve and to the same for the historical
(all 1 day reset rates). This is the general formula, but usually S = 0 if P
<> 100%.

 

I would like to know:

Is QuantLib gearing able to behave the same way as "P" above?

Does QuantLib support multiplicative spread (like S, above) or just additive
spread? I could not find a multiplicative spread inspecting some files.

 

Thanks a lot,

 

PS. 1: You can find mode details (if interested) at
http://www.debentures.com.br/downloads/textostecnicos/orient_calculo.doc,
pages 4 to 6. Google is able to do a pretty good job translating it.

PS. 2: I already checked that QuantLib YieldTermStructure is able to
generate one day forward rates with same conventions and interpolation we
use here in Brazil. This is already much better than a lot of foreign
systems that I already worked with.

 

_______________________

Piter Dias

 <mailto:pit...@pi...> pit...@pi...