Patches item #2727178, was opened at 2009-04-02 11:41
Message generated for change (Tracker Item Submitted) made by ultrium
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Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Private: No
Submitted By: Nathan Abbott (ultrium)
Assigned to: Nobody/Anonymous (nobody)
Summary: add Delay Days to FixedRateLeg
Initial Comment:
We have a need to create a FixedRateCoupon with the payment date that is different from the end date. For example, we created a mortgage bond with a starting coupon that has a start date of March 1st, 2009, a end date of April 1st, 2009, and a payment date of April 15th, 2009. The rest of the coupons of the bond follow the same pattern for its dates. To create the coupons, I had to added a delayDays_ variable to the FixedRateLeg class. delayDays_ is set to zero by default. Also, a withDelayDays method was added to the class. I also change the Leg() operator to take advance of the delayDays_ variable.
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