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Re: Floating RateBond

Posted by amandine vincotte on Nov 06, 2007; 6:13pm
URL: http://quantlib.414.s1.nabble.com/Floating-RateBond-tp1544p1548.html

Luigi, I tried this but version 0.8.1 doesn't seem to find this function setCouponPricer.  Any other suggestions?

Thanks a lot

Amandine

----- Original Message ----
From: Luigi Ballabio <[hidden email]>
To: amandine vincotte <[hidden email]>
Cc:
Sent: Tuesday, November 6, 2007 3:39:08 PM
Subject: Re: [Quantlib-users] Floating RateBond


On Tue, 2007-11-06 at 07:17 -0800, amandine vincotte wrote:
> It prints: "Pricer not set".
> What does this mean?

Oh, right. In version 0.8, there was no default for coupon pricers.
You'll have to explicitly write how to evaluate the coupon.
After you create the bond and before calling NPV(), write

boost::shared_ptr<IborCouponPricer> pricer(new BlackIborCouponPricer);
setCouponPricer(FRN.cashflows(),pricer);

In next release, this will no longer be necessary.

Luigi



--

Ogden's Law:
The sooner you fall behind, the more time you have to catch up.

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