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From: Michael (D. portal) <mi...@da...> - 2023-09-14 18:34:04
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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 |