Hi,I am trying to replicate Bloomberg's YAS screen, in Excel, it doesn't need to be spot on as obviously the variables change intraday, however at the moment, I'm miles off! I've attached my spreadsheet and a grab of the YAS that I'm trying to replicate. Can anyone see where I've gone wrong (I'm discounting using the Swap curve I55, which according to Bloomberg help was the correct one to use, this is the GBP Swap curve I believe). I have taken a snapshot of this curve and used linear interpolation to exract the relevant points, again I appreciate this may not be exact, but I'm sure there is something obvious I'm missing here.If anyone has any tips it would be much appreciated!Thanks

periods need to be divided by 2, and you need to apply the apropriate spread to the swap curve. if i use a spread of 170bps i have a price of roughly 106.

Yep fair point, I've divided the periods by 2 and applied a spread of 198bps into the DCF, but still don't really get that close, any ideas what am I missing here?

work is blocking me uploading an updated file. what's your email - will forward a copy of updated spreadie. W

Have sent you a pm with my address, much appreciated. Tks