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[ carbon-copied to quantlib-list for the record ]
On 2004.05.11 15:30, Andre Louw wrote:
> We have swaps based on overnight daily interest rate indexes.
>
> (...) each coupon [stores] its fixing date, not just calculating it
> off the start/end date, how would we handle this in QuantLib?
Andre,
I think you can handle this by inheriting from FloatingCoupon
(or ParCoupon, or IndexedCoupon if you can reuse code from those) and
overriding the virtual fixingDate() method. The downside is that you'll
have to clone your own function for generating a vector of your
coupons---we'll have to try and see if we can generalize that
somehow...
Later,
Luigi
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