discount margin

[Ferdinando M. Ametrano-2]

Hello

has anyone ever implemented floating bond discount margin evaluation in QL C++.

I need to tackle this, but would love to leverage my laziness :-)

thx

F

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[Luigi Ballabio]

I gave the beginning of an answer when the same question was asked at <http://quant.stackexchange.com/questions/8965/setting-up-schedule-for-an-amortizing-floater-in-quantlib>, but there's no working code there. You can check if the methodology is sound, though (I'm not sure of that myself).

Luigi

On Thu, Feb 19, 2015 at 5:12 PM, Ferdinando M. Ametrano <[hidden email]> wrote:

Hello

has anyone ever implemented floating bond discount margin evaluation in QL C++.

I need to tackle this, but would love to leverage my laziness :-)

thx

F

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