Hi, I'm new on
Quantlib. I need to price and compute sensitivity for fixed income structures
like "Snowball" and Tarn. In particular I'm interested in pricing bond with
coupons like this:
previous coupon + X
fixed rate - Euribor 6m
or:
Euribor 6m if
Euribor 6m > X fixed rate otherwise 0 -----> but if sum of
coupon = Yfixed, bond redeems.
Which kind of model
could I use? I think probably an LFM -LSM model (using Brigo
Mercurio notation)
I'm looking for
Quantlib code to price them, could someone help me?
Locked
