Re: 答复: 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-tp16484p16493.html

Thank you both for your valuable answers. I worked on them yesterday.

Cheng, I understood what was your idea and I tried to implement it, but I did not succeed, probably because I'm not (yet) familiar enough with Quantlib internal design to modifiy it.

And Peter, I did your first method (with gearing = 0 and spread = today's fixing), which was a smart workaround. It works well. But I still don't get the exact same coupons as Bloomberg: Bloomberg changes the day counting convention when it fixes its rates. For example, in my screenshot it has an Actual 360 convention until the 17/04/2015, and then it becomes a Thirty 360 convention. I cannot see any reason for that.
I did not have to try your other ideas, despite that the last one seemed also a good way of doing it.

Thank you again
Marin