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BuffaloFan32
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Posts: 10
Joined: July 14th, 2016, 10:53 pm

OIS Discounting on Cross Currency Swap

December 13th, 2018, 2:27 pm

I am trying to replicate the pricing I get when I build a swap in SWPM in Bloomberg.  The PV of my EUR leg is way off what Bloomberg is showing and it looks like the reason for that is my discount factors are incorrect.  I checked the box to enable OIS DC Stripping so I think there must be something wrong with my interpretation of how to build those factors.  If someone could take a look at the attached simplified sheet and point me in the right direction, I would greatly appreciate it!
Attachments
EUR Disc Factorsv2.xlsx
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