The BRL swap market uses indeed different convention from other swap markets. First of all, the year fraction between two dates is computed as the difference of business days between the two dates divided by 252. Secondly, the fixed swap rate is compounded and paid at maturity while the floating leg pays the compounded one day PRE-DI rate over the floating period. Therefore, the bootstrap algorithm needs to be modified to account for these particularities. In Price-it Library, the functions are now available to price Brazilian swaps.
Eric Benhamou, CEO of Pricing Partners comments: âIn order to respond to various requests from our clients to price Brazilian swaps, we upgrade our derivatives pricing analytics to provide accurate pricing for the BRL market. Pricing Partners is excited to be able to offer our clients the most accurate commercial pricing library.â