Duration and Convexity of a Floating Rate Bond

Posted by asavoldi on Dec 03, 2013; 1:50pm
URL: http://quantlib.414.s1.nabble.com/Duration-and-Convexity-of-a-Floating-Rate-Bond-tp14689.html

Hi,

I have been playing with QuantLib for a week and I need to admit that it rocks! This is really a heaven for who is involved in pricing, benchmarking, experimenting with cutting-hedge quantitative technology. I would like to ask a question related floating rate bonds.

1) Is there a plain-english document which explains how to setup FloatingRateBond class in order to calculate standard indicators, such as Duration and Convexity, given the bond price (i.e. Starting from the current market value I would like to calculate the Duration/Convexity implied in the price)

2) Is there anyone who can explain a bit how to setup discounting and forecasting curves, which are required to price a floating rate bond?

Thanks in advance,
Regards,
Antonio