[Quantlib-users] swaps

[Jens T. <jen...@st...>]

Hello, I have some problem here:

I take the swapvaluation example and assume:

- termstructure with constant 4% rates
- 2 year swap, 4% fixed rate, spread 0.0

and get the following results:

  *** 2Y swap at 4.00%
  *** using constant 4% structure:
  2Y 4.00% NPV:               2346.70
  2Y 4.00% fair spread:          0.1228%
  2Y fair fixed rate:             3.8760%

Can somebody explain that to me? 

We are also getting "weird" results from the term structures.


Jens.