[Quantlib-users] Swap Fair Rates not the same as curve inputs

[Esteban L. A. B. <est...@ho...>]

I'm having trouble getting the same nodes when evaluating Fair Rates for a Mexican TIIE swap.

I think my problem is in the MXNOIS curve creation, but I'm not sure.
For evaluating, I am creating the MXNOIS curve using both USDOIS curve and USDSOFR curve.

¿Does Anyone know where the problem is?

I will attach the python file (in .txt extension)

The output is:

Input for 1 Tenor:   11.245
Calculated 1 Tenor:  11.244857

Input for 3 Tenor:   11.23025
Calculated 3 Tenor:  11.229588

Input for 6 Tenor:   11.165
Calculated 6 Tenor:  11.163458

Input for 9 Tenor:   11.065
Calculated 9 Tenor:  11.063222

Input for 13 Tenor:   10.935
Calculated 13 Tenor:  10.932736

Input for 26 Tenor:   10.42005
Calculated 26 Tenor:  10.41593

Input for 39 Tenor:   10.025
Calculated 39 Tenor:  10.020654

Input for 52 Tenor:   9.78005
Calculated 52 Tenor:  9.775265

Input for 65 Tenor:   9.640125
Calculated 65 Tenor:  9.635103

Input for 91 Tenor:   9.52005
Calculated 91 Tenor:  9.515049

Input for 130 Tenor:   9.489
Calculated 130 Tenor:  9.48471

Input for 195 Tenor:   9.54
Calculated 195 Tenor:  9.537698

Input for 260 Tenor:   9.543
Calculated 260 Tenor:  9.541035

Input for 390 Tenor:   9.5305
Calculated 390 Tenor:  9.528793

Only the first Tenors are close to the input ones.

Thank you for your insights in this issue.

Esteban