FloatingRateCoupon::amount()

Posted by Jens Thiel on Jul 17, 2002; 8:57am
URL: http://quantlib.414.s1.nabble.com/FloatingRateCoupon-amount-tp10133.html

Hello,

while porting to C#, a few questions came up regarding
FloatingRateCoupon::amount(). First of all, I think the whole code might be
replaced by

    return (index_->fixing(fixingDate) + spread_) *
           accrualPeriod() * nominal();

I also suspect that their might be some confusion in the usage of fixingDate
and fixingValueDate in this method. Maybe the original author can have a
look at this?


Jens.