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

[Luigi B. <lui...@gm...>]

On Thu, 2010-09-30 at 23:42 -0300, Piter Dias wrote:
> Here in Brazil we have something called “CDI cash flow” [...] 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)
> 
> Is QuantLib gearing able to behave the same way as “P” above?

No, I don't think so. In the existing coupons, gearing and spread just
work as g*F + s, with F being some fixing.

> Does QuantLib support multiplicative spread (like S, above)?

Same thing.

Luigi


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