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Re: Floating RateBond

Posted by Luigi Ballabio on Nov 07, 2007; 10:05am
URL: http://quantlib.414.s1.nabble.com/Floating-RateBond-tp1544p1551.html


On Tue, 2007-11-06 at 09:26 -0800, amandine vincotte wrote:
> Do I need to set a volatility as well?

No---it is only used if the coupons fix in arrears.

Luigi


--

There are no rules of architecture for a castle in the clouds.
-- Gilbert K. Chesterton



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