Bojan Nikolic: Using and Understanding the QuantLib Addin

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qlVanillaSwapFairSpread – Compute the fair spread over floating rate for IR swap

Compute the rate which should be added to the floating leg of the IR swap which would make the present value of the entire structure zero at todays date. The retrieve the actual spread over floating for this swap use the function qlVanillaSwapSpread.



Object ID of a vanilla IR swap object


See examples given in qlMakeVanillaSwap – Make a vanilla interest rate swap object