swap cdor

[Grison PG Pierre (External DEXIA-US)]

Hello,

 

Has someone already worked on the CDOR (CAD) fixed/float swap (vanilla swap)? There is something very specific to this instrument since for the floating leg, reset frequency is 3M but payment frequency is 6M!

 

Thanks for your answers,

 

Pierre

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[Luigi Ballabio]

Hello Pierre,

    you might try working with the classes in <ql/experimental/coupons/subperiodcoupons.hpp>. They seem to be the droids you're looking for, but they're not tested, so check them carefully. Also, I'm not sure how to instantiate a sequence of them, but I think the FloatingLeg function (in <ql/cashflows/cashflowvectors.hpp>) should work. Let me know how it goes.

Later,

    Luigi

On Fri, Jan 23, 2015 at 5:40 PM, Grison PG Pierre (External DEXIA-US) <[hidden email]> wrote:

Hello,

 

Has someone already worked on the CDOR (CAD) fixed/float swap (vanilla swap)? There is something very specific to this instrument since for the floating leg, reset frequency is 3M but payment frequency is 6M!

 

Thanks for your answers,

 

Pierre

------------------------------------------------------------------------------
New Year. New Location. New Benefits. New Data Center in Ashburn, VA.
GigeNET is offering a free month of service with a new server in Ashburn.
Choose from 2 high performing configs, both with 100TB of bandwidth.
Higher redundancy.Lower latency.Increased capacity.Completely compliant.
http://p.sf.net/sfu/gigenet
_______________________________________________
QuantLib-users mailing list
[hidden email]
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