Build table with rates


#1

Hello ! I want to build a table with market rates, and corresponding to them columns with Discount, Spot and forward rates. Actually I want to see these rates as it is displayed in Bloomberg swap calculator. I’v executed majority of examples, but haven’t found something similar…It calculates different PV, NPV’S, but how to get table with spot, discoung and forwatd rates?
Thank you very much in advance.


IRS Vanilla Zero and Forward Curves
#2

When pricing a swap that pays every six months, there is a different discount/forward rate used every six months. The discount factors can be seen using the cashFlows(..) method on the pricer or via Measure.CASH_FLOWS (configuration name of “CashFlows”).

To get the individual rates you will need to use Measures.EXPLAIN_PRESENT_VALUE(configuration name of “ExplainPresentValue”). This is available as method explainPresentValue(...) on the pricer.

HTH
Stephen