Floating RateBond

Posted by amandine vincotte on Nov 06, 2007; 1:12pm
URL: http://quantlib.414.s1.nabble.com/Floating-RateBond-tp1544.html

Hi ,

 

I am trying to use the FloatingRateBond function.

The effective date is : 9 Sept 2007

      maturity date: 5 Feb 2012

 

And I have an Evalutation Date on the 2nd Of November.

 

So my Float Schedule starts on the 9 Sept 2007, with the first coupon being on the 5 of November.

 

And I have a discount Curve which starts on the evaluation Date.

 

My question is how does the FloatingRateBond function knows what is my Evalution Date when calculating the NPV.

I have tried this:

Settings::instance().evaluationDate() =Evaluation Date

 

But my function below still doesnt work when calling the NPV() function:

 

FloatingRateBond FRN(settlementDays,faceAmount,FloatSchedule,euriborIndex,dayCount,conv,-fixingDays,vector< Real >(1,1.0),spreads,vector< Rate >(1,0.0) ,vector< Rate >(1,0.0),false,100,Date(),dfc);

 

Thanks a lot in advance

 

Amandine

 

 

 

 

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