Re: Need some tips in order to price a Brazilian floating rate swap leg

Posted by Piter Dias-4 on Oct 26, 2010; 9:56pm
URL: http://quantlib.414.s1.nabble.com/Need-some-tips-in-order-to-price-a-Brazilian-floating-rate-swap-leg-tp13391p13393.html


> No, I don't think so. In the existing coupons, gearing and spread just work as g*F + s, with F being some fixing.

It sounds like I have something to do here. As soon as I have something I let you guys know.

Thanks a lot
_______________________
Piter Dias
[hidden email]


------------------------------------------------------------------------------
Nokia and AT&T present the 2010 Calling All Innovators-North America contest
Create new apps & games for the Nokia N8 for consumers in  U.S. and Canada
$10 million total in prizes - $4M cash, 500 devices, nearly $6M in marketing
Develop with Nokia Qt SDK, Web Runtime, or Java and Publish to Ovi Store
http://p.sf.net/sfu/nokia-dev2dev
_______________________________________________
QuantLib-dev mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-dev