[Quantlib-users] Bonds I-Spread

[Michael (D. portal) <mi...@da...>]

Hi All,

I am looking for some QuantLib examples on how to calculate bond's I spread
that match Bloomberg calculations (as described below).

Any help is greatly appreciated!

Bloomberg's I-spread is calculated like this: find the 2 swap rate quotes
nearest the bond maturity. Linearly interpolate to get the swap rate at the
bond's maturity. (Unless you happen to have a swap rate quote exactly at
the bond's maturity.) I-spread = interpolated swap rate - the bond's
conventional yield

Thanks,

Michael