Floor with Step Down notionals

[Ghorpadkar, Suhas]

I am trying to value a floor with step down notional. The floor start date is March 31^st, 2007 and end date is March 31^st, 2017.

The original notional is 1M and the step down schedule starts on March 29^th, 2012 and ends on March 31^st,2017 with 100,000 decrement per year.

I see that IborLeg has a withNotionals method that takes in a vector of Notionals. However, it’s not clear to me how to populate

this vector based on the notional schedule I have. Should the vector have as many elements as there are periods ?

The index is USD 3M Libor, so that there are 20 3M periods from March 2007 to March 2012 and then there will be 4 periods for each year after.

So should the vector have 20 notionals with 1M each and then 4 with 900,000 , another 4 with 800,000 etc ?

 

Thanks,

Suhas

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[Luigi Ballabio]

Yes, I'd say so.  In order to check it, once you've built the leg, you can inspect the notionals like this:

Leg leg = ...

for (Size i=0; i<leg.size(); ++i) {

    boost::shared_ptr<Coupon> c = boost::dynamic_pointer_cast<Coupon>(leg[i]);

    cout << i << "\t" << c.nominal() << endl;

}

Luigi

On Wed, Aug 24, 2016 at 11:19 AM Ghorpadkar, Suhas <[hidden email]> wrote:

I am trying to value a floor with step down notional. The floor start date is March 31^st, 2007 and end date is March 31^st, 2017.

The original notional is 1M and the step down schedule starts on March 29^th, 2012 and ends on March 31^st,2017 with 100,000 decrement per year.

I see that IborLeg has a withNotionals method that takes in a vector of Notionals. However, it’s not clear to me how to populate

this vector based on the notional schedule I have. Should the vector have as many elements as there are periods ?

The index is USD 3M Libor, so that there are 20 3M periods from March 2007 to March 2012 and then there will be 4 periods for each year after.

So should the vector have 20 notionals with 1M each and then 4 with 900,000 , another 4 with 800,000 etc ?

 

Thanks,

Suhas

............................................................................

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