wilmott.com

Hi,I built a swap, forward swap and swaption, forward swaption calculator.I noticed that for my 30Y swaps or swaptions my price difference between a benchmark and my calculator is too large (I am using Bloomberg or Citigroup as benchmark). My ATM is matching very closely the benchmarks. If the maturities is under 30Y my error is smaller.So I decided to investigate what can be the cause.I found that my discount factor curve was about 20bp higher than the one from Bloomberg.Do you know how closely the discount factors should match if I take the exact same swap curve and libor from Bloomberg (What should be the size of the error)?[$]error<10^{-4}[$] ? I am using a bootstrap to back up the discount factor.Any books, paper, example you recommend me to study to get an accurate discount factor from a swap curve?

My first guess is that you are not using multi-curve pricing for your swaps/swaptions. Google "Multi-Curve Swap Pricing" for more info.