Tag: interest rate swap

amortizing interest rate swap valuation example quantib python

Example of valuation of amortizing interest rate swap in Python with quantlib module for quantlib excel version see Amortizing interest rate swap valuation excel quantlib addin First , Install QuantLib package for python (use guide here ) to run the

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Amortizing interest rate swap valuation excel example

Amortizing interest rate swap valuation excel with 2 curves example: for online amortizing interest rate swap valuation with credit valuation adjustment see Online Amortizing Interest rate swap valuation with CVA and OIS discounting for quantlib python version see Amortizing Interest

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hedge effectiveness testing – hedge accounting

What is a hedge effectiveness testing? it’s a numerical test in hedge accounting to determine if hedging financial instrument effectively hedges underlying loan. In case when hedge is effective company can apply “hedge accounting” and would not be obliged to

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how to value interest rate swap with 2 curves with QuantLib C++ (quantlib swap example)

example of interest rate swap derivative valuation in c++ with quantlib. for quantlib excel valuation see https://www.pricederivatives.com/en/amortizing-swap-valuation-excel-example/ maturity: 20 nov 2022 nominal: 1M init date: 20 nov 2012 floating leg pays: Euribor 3m + 2% every 3 months fixed leg

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