Hi,
Thanks for this.
Also thanks to you and Theo for the Convertible Bond code. I like the Soft
Callability feature...
Toy out.
>From: Luigi Ballabio <
[hidden email]>
>To: "Toyin Akin" <
[hidden email]>
>CC:
[hidden email]
>Subject: Re: spread not used within some of the capfloor engine classes
>Date: Tue, 20 Jun 2006 20:05:01 +0200
>
>
>On Mar 22, 2006, at 6:27 AM, Toyin Akin wrote:
>>Apart from the blackcapfloorengine class, I do not believe that any of the
>>other capfloor engine classes use the spread value stored with the
>>cashflow coupons. This is also true for the calculated convexity value
>>that is added to the indexFixing (line #85 of the floatingratecoupon.hpp
>>file).
>
>Toyin,
> this is fixed now. The strike is now adjusted for the spread.
>
>Luigi
>
Locked
