http://quantlib.414.s1.nabble.com/How-to-fix-future-unknown-coupons-of-a-FRN-tp16484p16494.html
Oh my good. If this is the convention, you would certainly need a
special pricing engine for this. Who comes up with such things?
> 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
>
>
>
> --
> View this message in context:
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>
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