Timeline for QuantLib: Problem with IRS valuation
Current License: CC BY-SA 4.0
6 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| Mar 21 at 9:08 | comment | added | Luigi Ballabio | It looks correct. Is there any chance you can include the complete code you're using so we can run it? | |
| Mar 21 at 9:05 | comment | added | Kid000 | I want to price the swap in June 2023, with annual schedule starting may 2022, so with one payment made. The swap is floating SOFR (paid) and fixed (received). I am trying to do this with fixed ON dates up until valuation (June 2023) and a projection curve from now on. Did I do this correctly? | |
| Mar 20 at 16:08 | comment | added | Luigi Ballabio | I'm not sure I understand what you mean. You created a swap with a schedule that pays in May. When you set the evaluation date to June, those payments will still be in May of course but will be discounted to your evaluation date. What is it that you're trying to do instead? | |
| Mar 20 at 14:59 | comment | added | Kid000 | Unfortunately, the swap is not pricing with the schedule on the valuation date. It is showing in the schedule the payment in may 2023, even though I am trying to price it in June. And I am trying to price this swap with past ON rates up until valuation date and projection curve from valuation date. | |
| Mar 20 at 12:40 | comment | added | Kid000 | Luigi, Thank you for your immense help. Cold you guide me in one thing? I built a SOFR curve. I also built a OvernightIndexedSwap. I want to price this swap during its life, thus I have also past ON Sofr fixings. How to price this swap? I can't help myself with errors. I added the code in the question in second part, because the comments are too short. Thank you again | |
| Mar 19 at 17:51 | history | answered | Luigi Ballabio | CC BY-SA 4.0 |