How to fix future (unknown) coupons of a FRN?

Posted by MDecau on
URL: http://quantlib.414.s1.nabble.com/How-to-fix-future-unknown-coupons-of-a-FRN-tp16484.html

Hello everyone,

I have a floating rate bond that I am trying to price. I did it with Quantlib first, and then with Bloomberg to check my results (it is a real bond, not just an example). I don't find the same results at all: the coupons are very different.
That's because Quantlib calculates the future coupons based on the forward rates implied by the term structure, while Bloomberg uses the spot underlying index value as the assumed rate for the second and future index fixings.

To illustrate, let me show you the cash flows I get.
With Quantlib :
Coupons_Quantlib.PNG
With Bloomberg :
Coupons_bloom.JPG

I know that using the forward rates is a good way to do it, but I'd still like to give the user the choice between the two methods. Is there any way in Quantlib to set my future (undetermined) floating coupons to a fixed value like Bloomberg does (= (underlying spot rate + spread)*coupon frequency)?
If not, how should I do it?

Thank you for your help