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

[<for...@ya...>]

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Hi Ben,




I agreed and compared their cashflows of float leg and found the differece. 

My QuantLib code starts at the settlement date of the bond, whereas BBG does at the accrual start date.




Thank you for your suggestion, Kenji




----- Original Message -----




From: "Ben Watson" <ben...@ma...>

To: "me" <for...@ya...>

Cc: "QuantLib users" <Qua...@li...>

Date: 2025/03/27 木 15:36

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







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

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