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Dear Quantlib,
I am trying to use quantib (XL) to price a portfolio of interest rate swaps and I have a couple of questions which I have been unable to find answers.
1 - in quantlib xl how can I get the value of historic cash flows. I can see that I can set the historic fixings and that historic cash flows drop out of the NPV, but where can I find them. Don't really want either coupons being dropped from my portfolio value, or to have to rebook historic cash flows. What I would really like is to get the NPV value and the settled cash value for these instruments (and that coupons move seamlessly from one to the other).
2 - Since the credit crunch, swap curves are now built up using a different discount curve (say overnight rates curve) from the rate curve (say 3m Euribor).
I havent been able to find out whether and how quantlib can do this.
Thanks for your help,
Aron.
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