[Quantlib-users] Asset swap calculation in QL-Python

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Hi All,




I calculated bond yield, I-spread, Z-spread, and ASW spread for IBM 1.25, 01/29/27 (ISIN XS1945110606) in the attached Jupyter notebook and compared them with Bloomberg. The calculated values for yield, I-spread, and Z-spread almost coincided with Bloomberg's. (attached BBG's screens) 




Could someone please suggest where I might be going wrong with the ASW calculation? (My calculated ASW is 40.95bp, while Bloomberg's is 35.0bp.)




Thanks,

Kenji