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Luigi,
I am in need of an arrears fixing swap. I assume you have given it some
thought?
My first thought was that it should be fairly simple to add an averaging
xibor class which implements a fixing() method. Supplied with the
periodStart and -End dates as well as the fixingDays, it can then calculate
a fixing rate to pass back to the caller. This same could then be used from
within the existing amount() method in floatingratecoupon. Does this make
sense?
What I noticed is that floatingratecoupon uses the
index->termStructure->dayCounter to determine it's period, whereas xibor
uses it's own dayCounter, is this a market convention?
This is of course only part of the problem - the whole issue of having
fixingDates at the end need to be addressed as well.
What is your feeling about this? Am I on the right track?
I have a few other issues that I would like to run by you, can you maybe
supply me with a phone number where I can contact you during office hours?
Andre
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