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Floating Leg

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simone pilozzi

Floating Leg

Dear Users,
What is the easiest way to construct a leg which is floating in all the payments but the next?
For example : in a fix for floating rate swap, the floating leg when the underlying index has already fixed for the next payment.
Thank in advance?

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simone pilozzi

Fwd: Floating Leg

I think I solved :
swFloatingLegIndex->addFixing method...
Isn'it?

---------- Forwarded message ----------
From: simone pilozzi <[hidden email]>
Date: 12 June 2012 17:00
Subject: Floating Leg
To: [hidden email], [hidden email]

Dear Users,
What is the easiest way to construct a leg which is floating in all the payments but the next?
For example : in a fix for floating rate swap, the floating leg when the underlying index has already fixed for the next payment.
Thank in advance?

Luigi Ballabio

Re: Fwd: Floating Leg

Yes, that's it.

Luigi

On Tue, Jun 12, 2012 at 5:20 PM, simone pilozzi <[hidden email]> wrote:

> I think I solved :
> swFloatingLegIndex->addFixing method...
> Isn'it?
>
>
> ---------- Forwarded message ----------
> From: simone pilozzi <[hidden email]>
> Date: 12 June 2012 17:00
> Subject: Floating Leg
> To: [hidden email],
> [hidden email]
>
>
> Dear Users,
> What is the easiest way to construct a leg which is floating in all the
> payments but the next?
> For example : in a fix for floating rate swap, the floating leg when the
> underlying index has already fixed for the next payment.
> Thank in advance?
>
>
> ------------------------------------------------------------------------------
> Live Security Virtual Conference
> Exclusive live event will cover all the ways today's security and
> threat landscape has changed and how IT managers can respond. Discussions
> will include endpoint security, mobile security and the latest in malware
> threats. http://www.accelacomm.com/jaw/sfrnl04242012/114/50122263/
> _______________________________________________
> QuantLib-users mailing list
> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>

Simon Ibbotson-2

Re: Fwd: Floating Leg

Hi Simone,

Some swaps can have the first floating rate fixed without it being an official Libor (or Euribor etc.) fixing. This is particularly done to avoid fixing risk on the swap before confirmations (usually done later that day) - not within a clearing house.

Did you mean a first fixing for this type of swap - or a fixing for every swap on the same index?

Simon

-----Original Message-----
From: Luigi Ballabio [mailto:[hidden email]]
Sent: 12 June 2012 16:27
To: simone pilozzi
Cc: [hidden email]; [hidden email]
Subject: Re: [Quantlib-users] Fwd: Floating Leg

Yes, that's it.

Luigi

On Tue, Jun 12, 2012 at 5:20 PM, simone pilozzi <[hidden email]> wrote:

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threat landscape has changed and how IT managers can respond. Discussions
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threats. http://www.accelacomm.com/jaw/sfrnl04242012/114/50122263/
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The FSA reserves the right to monitor all email communications for compliance with legal, regulatory and professional standards.
This email is not intended to nor should it be taken to create any legal relations or contractual relationships. This email has originated from

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------------------------------------------------------------------------------
Live Security Virtual Conference
Exclusive live event will cover all the ways today's security and
threat landscape has changed and how IT managers can respond. Discussions
will include endpoint security, mobile security and the latest in malware
threats. http://www.accelacomm.com/jaw/sfrnl04242012/114/50122263/
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simone pilozzi

Re: Fwd: Floating Leg

Hi Simon,

Yes I meant the second case (swap fixing with an official index).

Many Thanks indeed

On 12 June 2012 18:07, Simon Ibbotson <[hidden email]> wrote:

Hi Simone,

Some swaps can have the first floating rate fixed without it being an official Libor (or Euribor etc.) fixing. This is particularly done to avoid fixing risk on the swap before confirmations (usually done later that day) - not within a clearing house.

Did you mean a first fixing for this type of swap - or a fixing for every swap on the same index?

Simon

-----Original Message-----
From: Luigi Ballabio [mailto:[hidden email]]
Sent: 12 June 2012 16:27
To: simone pilozzi
Cc: [hidden email]; [hidden email]
Subject: Re: [Quantlib-users] Fwd: Floating Leg

Yes, that's it.

Luigi

On Tue, Jun 12, 2012 at 5:20 PM, simone pilozzi <[hidden email]> wrote:
> I think I solved :
> swFloatingLegIndex->addFixing method...
> Isn'it?
>
>
> ---------- Forwarded message ----------
> From: simone pilozzi <[hidden email]>
> Date: 12 June 2012 17:00
> Subject: Floating Leg
> To: [hidden email],
> [hidden email]
>
>
> Dear Users,
> What is the easiest way to construct a leg which is floating in all the
> payments but the next?
> For example : in a fix for floating rate swap, the floating leg when the
> underlying index has already fixed for the next payment.
> Thank in advance?
>
>
> ------------------------------------------------------------------------------
> Live Security Virtual Conference
> Exclusive live event will cover all the ways today's security and
> threat landscape has changed and how IT managers can respond. Discussions
> will include endpoint security, mobile security and the latest in malware
> threats. http://www.accelacomm.com/jaw/sfrnl04242012/114/50122263/
> _______________________________________________
> QuantLib-users mailing list
> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>

------------------------------------------------------------------------------
Live Security Virtual Conference
Exclusive live event will cover all the ways today's security and
threat landscape has changed and how IT managers can respond. Discussions
will include endpoint security, mobile security and the latest in malware
threats. http://www.accelacomm.com/jaw/sfrnl04242012/114/50122263/
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users

This communication and any attachments contains information which is confidential and may be subject to legal privilege. It is for intended recipients only. If you are not the intended recipient you must not copy, distribute, publish, rely on or otherwise use it without our consent. Some of our communications may contain confidential information which it could be a criminal offence for you to disclose or use without authority. If you have received this email in error please notify [hidden email] immediately and delete the email from your computer.

The FSA reserves the right to monitor all email communications for compliance with legal, regulatory and professional standards.
This email is not intended to nor should it be taken to create any legal relations or contractual relationships. This email has originated from

The Financial Services Authority (FSA)
25 The North Colonnade,
Canary Wharf,
London
E14 5HS
United Kingdom

Registered as a Limited Company in England and Wales No.1920623.
Registered Office as above

Switchboard: 020 7066 1000
Web Site: http://www.fsa.gov.uk
*****************************************************************