On Jan 20, 2011, at 8:03 PM, Leon Sit wrote:
> In quantlib, is there a way to query the last fixing date of a swap
> with respect to the evaluation date?
Yes, but it's kind of complex. You'll have to:
- ask the swap for its floating leg; if it's a VanillaSwap, call its
floatingLeg() method; if it's a generic Swap, use the leg(i) method by
passing the correct index;
- get a pointer to the last CashFlow; that's leg.back()
- downcast it to FloatingRateCoupon; that's
coupon = boost::dynamic_pointer_cast<FloatingRateCoupon>(leg.back());
- now you can use its fixingDate() method.
Luigi
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