Posted by
Peter Caspers-4 on
URL: http://quantlib.414.s1.nabble.com/question-on-YieldTermStructure-forwardRate-tp14955p14967.html
Hi Whit,
> One thing I don't understand about MakeVanillaSwap, why does it need
> to make assumptions about the fixedDayCount based on the currency of
> the IborIndex?
>
https://github.com/lballabio/quantlib/blob/master/QuantLib/ql/instruments/makevanillaswap.cpp#L112If you do not provide a fixed leg day counter, it is guessed from the
currency. That's all I think, just some
intelligence built into the library.
> Lastly, can someone point me to where the actual code for the
> 'fairRate' calculation is defined?
In the end it is in vanillaswap.cpp, line 196 where it is derived from
results provided by the
DiscountingSwapEngine associated to the VanillaSwap created before.
Best regards
Peter
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