How to compute the BRL plain vanilla swap. I have followed the below methodology to calculate the valuation for other indexes but BRL-CDI is far off from actual valuation. Please suggest if anything I am missing in BRL swaps especially.

# construct discount curve and libor curve
risk_free_rate = 0.01
libor_rate = 0.02
day_count = ql.Business252()

discount_curve = ql.YieldTermStructureHandle(
     ql.FlatForward(calculation_date, risk_free_rate, day_count)

 libor_curve = ql.YieldTermStructureHandle(
     ql.FlatForward(calculation_date, libor_rate, day_count)
# BRL index
 libor3M_index = ql.OvernightIndex('BRL', 0, ql.BRLCurrency(), ql.Brazil(), ql.Business252())

calendar = ql.Brazil()
settle_date = calendar.advance(calculation_date, 5, ql.Days)
maturity_date = calendar.advance(settle_date, 10, ql.Years)

 fixed_schedule = ql.Schedule(settle_date, maturity_date, 
                         fixed_leg_tenor, calendar,
                         ql.ModifiedFollowing, ql.ModifiedFollowing,
                         ql.DateGeneration.Forward, False)

 float_schedule = ql.Schedule (settle_date, maturity_date, 
                          float_leg_tenor, calendar,
                          ql.ModifiedFollowing, ql.ModifiedFollowing,
                          ql.DateGeneration.Forward, False)

 notional = 10000000
 fixed_rate = 0.025
fixed_leg_daycount = ql.Business252()
float_spread = 0.004
float_leg_daycount = ql.Business252()

 ir_swap = ql.VanillaSwap(ql.VanillaSwap.Payer, notional, fixed_schedule, 
           fixed_rate, fixed_leg_daycount, float_schedule,
           libor3M_index, float_spread, float_leg_daycount )

 swap_engine = ql.DiscountingSwapEngine(discount_curve)
  • $\begingroup$ Googling... opensourcerisk.org/docs/qle/… $\endgroup$ Jun 15 '21 at 11:35
  • $\begingroup$ Thanks for reply. It means, in place of 'ql.VanillaSwap', I should use 'ql.BRLCdiSwap' for NPV computation. Correct ? $\endgroup$
    – robin
    Jun 15 '21 at 12:27

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