Re: [Quantlib-users] OIS valuation

[Evgenia V. <ge...@gm...>]

Hi Ashish,

Tank you!

Evgenia

ср, 10 авг. 2022 г., 20:47 Ashish Bansal <ash...@gm...>:

> For vanilla swap you can refer to following:
> http://gouthamanbalaraman.com/blog/interest-rate-swap-quantlib-python.html
>
> http://billiontrader.com/interest-rate-swaps-valuation-with-quantlib/
>
> Try to find changes related to OIS to this. I have not used it for swap
> yet not sure.
>
> Regards
> Ashish
>
> On Wed, Aug 10, 2022, 12:21 PM Evgenia Vass <ge...@gm...> wrote:
>
>> Dear Quantlib users,
>> I need to calculate the net present value for Overnight Indexed Swap.
>> Since this is my first time doing this, please advise me where I can get
>> acquainted with the basic algorithm for evaluating such swaps. Are there
>> any typical examples? I will be grateful for any help and hints.
>> Thanks!
>> Jenn Vass
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>