Re: [Quantlib-dev] Simple swap pricing

[R S <raj...@ho...>]

Apologies as I am sure this has been asked before but I cannot find the answers from the archive.

I attach a jupyter notebook file where I have constructed a simple swap.

I am using the forward and discount rates to manually calculate the cashflows and am always slightly out w.r.t the cashflows from the legs

(see image - quantlibex.png)

How can I get hold of the forward and discount rates being used internally (I presume these re off the equivalent z-curve, hence the diff?)

I attach the requirements.txt for my virtual env called quantlibenv (if you wish to recreate)

I add this env to jupyter using the command:


ipython kernel install --user --name=quantlibenv

as outlined here<https://anbasile.github.io/programming/2017/06/25/jupyter-venv/>