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

[Ben W. <ben...@ma...>]

I am not 100% sure what quantlib is doing here. I bespoked asset swap
pricing using swap.

But BBG asw calcs fixes the first coupon based on historical index (euribor
fixing). It also includes the accrual on the fixed leg. This ineffect makes
asw calculations a dirty price calculation. In BBG on the ASW screen, you
can push the pricing to SWPM and you can see the accrual numbers on that
screen.

I hope that helps.

Ben

On Wed, 26 Mar 2025, 10:36 pm forward_rate--- via QuantLib-users, <
qua...@li...> wrote:

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