Posted by
Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/Floating-Rate-bond-pricing-related-questions-in-QL-and-QLXL-tp14476p14534.html
Hi Christos,
you'll have to build a new bond class, but that's easier than it
seems. If you look at the way the FloatingRateBond and CmsRateBond
classes are implemented, you'll see that they inherit all their
functionality from the Bond class and that they only define a
constructor where they build their cashflows.
You can build such a class whose constructor should build a series of
cms cashflows (like CmsRateBond) and then replace the first one with
an IborCoupon.
Luigi
On Thu, Sep 19, 2013 at 4:49 PM, christos.arvanitis
<
[hidden email]> wrote:
> Dear Luigi,
>
> Thanks for your help I will take a careful look in the libary for optionlets
> stripping and I will revert back....
>
> As for the exposition of the Nelson Siegel class in QLXL it looks to me that
> it is indeed a harder excersise....
> I will take a look at the suggested tutorial but any way if its possible i
> will appreciate also any additional help from any of you that had the
> experience to expose already the class at excel.
>
> Now comes another question on the universe of flotters in QL
> How I can construct in QL a floater that say at a first period has a
> floating ibor index and after a while turns to constant maturity index?
>
> Thanks in advance for your help
>
> Best Regards
> Christos Arvanitis
>
>
>
>
> --
> View this message in context:
http://quantlib.10058.n7.nabble.com/Floating-Rate-bond-pricing-related-questions-in-QL-and-QLXL-tp14476p14527.html> Sent from the quantlib-users mailing list archive at Nabble.com.
>
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