5 votes

Quantlib FRA and interpolated rate in Swaps vs BBG valuation

I don't know what are your Bloomberg setting for the CZK, but I'm pretty sure it has to do with interpolation method. The slope between the two nodes for determining the forward you mention is ...
David Duarte's user avatar
  • 5,685
1 vote

Any other ways to hedge a bond portfolio against interest rate risk?

If you are long a bond and want to hedge it: Sell the same bond. Sell another bond. Sell a bond future. Pay a swap. Buy a payer swaption. Those are some basic methods. Ofcourse there are many ...
user68819's user avatar
  • 361
1 vote

Quantlib - mismatch with BBG Swap

For what its worth I priced this in my own library and got -471,275 NPV, valued as of 2nd October 2023. I dont have a Czech holiday calendar and I assumed the convention of the swaps is Annual Act360 ...
Attack68's user avatar
  • 9,215
1 vote

Are there any structural reasons for choosing constant forward rate interpolation over linear interpolation beyond just simplicity?

Any curve building method that produces non continuous forward rates is subject to being arbitraged by other market participants (assuming you are using it to make decisions about buying and selling ...
dm63's user avatar
  • 16.6k

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