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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Tag: interest rate swap
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…
Posted in OTC derivatives valuation, quantlib Tagged with: interest rate swap, otc derivatives, quantlib
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…
Posted in hedge accounting Tagged with: derivative accounting, hedge accounting, ias 39, ifrs, interest rate hedging, interest rate swap, otc derivatives, swap
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 http://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…
