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

[Luigi B. <lui...@gm...>]

Hi Esteban, I've answered you at <
https://quant.stackexchange.com/questions/79126/quantlib-swap-fair-rate-not-the-same-as-the-constructed-curve-nodes/
>.

Luigi


On Thu, Apr 25, 2024 at 8:37 PM Esteban López Araiza Bravo <
est...@ho...> wrote:

> 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
> _______________________________________________
> QuantLib-users mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>