FloatingRateCoupon::amount()

[Jens Thiel]

Hello,

while porting to C#, a few questions came up regarding
FloatingRateCoupon::amount(). First of all, I think the whole code might be
replaced by

    return (index_->fixing(fixingDate) + spread_) *
           accrualPeriod() * nominal();

I also suspect that their might be some confusion in the usage of fixingDate
and fixingValueDate in this method. Maybe the original author can have a
look at this?


Jens.

[Ferdinando M. Ametrano-2]

At 04:50 PM 7/17/2002 +0200, Jens Thiel wrote:
>I think the whole code might be replaced by
>
>     return (index_->fixing(fixingDate) + spread_) *
>            accrualPeriod() * nominal();
>
>I also suspect that their might be some confusion in the usage of fixingDate
>and fixingValueDate in this method. Maybe the original author can have a
>look at this?
Luigi? Are you alive? ;-)

ciao -- Nando

[Luigi Ballabio-2]

At 10:04 PM 7/21/02 +0200, Ferdinando Ametrano wrote:
>At 04:50 PM 7/17/2002 +0200, Jens Thiel wrote:
>>I think the whole code might be replaced by
>>
>>     return (index_->fixing(fixingDate) + spread_) *
>>            accrualPeriod() * nominal();

This is a point I made mself in the past (see my post at
http://www.geocrawler.com/archives/3/6863/2002/3/0/8235251/ ).

However, the thread that followed (and which can be read at
http://www.geocrawler.com/mail/thread.php3?subject=%5BQuantlib-users%5D+Floating+Coupons&list=6863 
) deemed me wrong.


>>I also suspect that their might be some confusion in the usage of fixingDate
>>and fixingValueDate in this method. Maybe the original author can have a
>>look at this?
>Luigi? Are you alive? ;-)

There might be some confusion, I agree.
Nando, your smileys notwithstanding, I thought you were looking at it as
part of your whole term structure/today's date/settlement date
reorganization, weren't you?

Later,
         Luigi