Added market quote for swaps to extend the parRate#1972
Merged
marc-henrard merged 2 commits intomasterfrom May 20, 2019
Merged
Conversation
… with a fixed leg.
yukiiwashita
approved these changes
May 20, 2019
This file contains hidden or bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
Sign up for free
to join this conversation on GitHub.
Already have an account?
Sign in to comment
3 participants
Add this suggestion to a batch that can be applied as a single commit.This suggestion is invalid because no changes were made to the code.Suggestions cannot be applied while the pull request is closed.Suggestions cannot be applied while viewing a subset of changes.Only one suggestion per line can be applied in a batch.Add this suggestion to a batch that can be applied as a single commit.Applying suggestions on deleted lines is not supported.You must change the existing code in this line in order to create a valid suggestion.Outdated suggestions cannot be applied.This suggestion has been applied or marked resolved.Suggestions cannot be applied from pending reviews.Suggestions cannot be applied on multi-line comments.Suggestions cannot be applied while the pull request is queued to merge.Suggestion cannot be applied right now. Please check back later.
ParRate is available for swap with a fixed leg.
The goal is to obtain a unified mechanism to compute par rate for fixed v floating swaps and to compute basis spread for basis swaps.
This is the way the market quote those different instruments.
The method will be used in synthetic curve calibration when the target nodes have basis or cross-currency swaps.