Re: QuantLib-dev Digest, Vol 78, Issue 12

Posted by Theo Boafo on Nov 28, 2012; 4:36pm
URL: http://quantlib.414.s1.nabble.com/Re-QuantLib-dev-Digest-Vol-78-Issue-12-tp13755p13744.html

Hi,

So I can have a new class FloatFloatSwap inheriting from Swap class and build the two legs as you suggested?

Regards

Theo

-----Original Message-----
From: Luigi Ballabio <[hidden email]>
To: Theo Boafo <[hidden email]>
CC: quantlib-dev <[hidden email]>
Sent: Wed, 28 Nov 2012 16:32
Subject: Re: [Quantlib-dev] QuantLib-dev Digest, Vol 78, Issue 12

You'll have to build the two legs yourself and use the Swap class instead.

Luigi


On Wed, Nov 28, 2012 at 5:22 PM, Theo Boafo <[hidden email]> wrote:
> Hi,
>
> Looking at the vanillaswap it values swaps with  fixed for floating
> schedules or legs.  I cant see anything doing float for float or am I
> missing something.
>
> Regards
>
> Theo
>
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