Re: Arrears fixing floating coupons / Averaging indexes

Posted by Luigi Ballabio-2 on Mar 11, 2003; 10:08am
URL: http://quantlib.414.s1.nabble.com/Arrears-fixing-floating-coupons-Averaging-indexes-tp10229p10230.html

At 01:20 PM 3/11/03 +0200, Andre Louw wrote:
>I am in need of an arrears fixing swap. I assume you have given it some
>thought?

Andre,
         Nicolas committed a few classes a couple of weeks ago which might
be the ones you need. You can check out the current CVS tree and look into
ql/CashFlows --- in particular, IndexedCoupon, InArrearsIndexedCoupon, and
UpFrontIndexedCoupon.

Later,
         Luigi