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(This question is already posted to StackExchange, feel free to reply there too if you prefer to earn some points and/or for easier Google archival in future: http://quant.stackexchange.com/questions/29751/using-quantlib-to-price-swaps-with-different-payment-and-calculation-resets-for) I understand the VanillaSwap object assumes that payment and calculation resets are the same, so is there any way we could use quantlib to price a swap with different reset and calculation frequencies? (say payment is semiannual but resets is annual). A few candidates I've considered are:
Is there any other simpler way to deal with this given that everything else is similar to a VanillaSwap except using different payment and calculation dates? ------------------------------------------------------------------------------ _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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For future reference: the answer is at the StackExchange link in the original post. On Sun, Aug 21, 2016 at 5:00 PM Anyi Zhu <[hidden email]> wrote:
... [show rest of quote] ------------------------------------------------------------------------------ _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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