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Re: Pricing Interest Rate swap at future dates

Posted by Mariano Zeron on Oct 21, 2016; 2:15pm
URL: http://quantlib.414.s1.nabble.com/Pricing-Interest-Rate-swap-at-future-dates-tp17639p17821.html

Hi,

Sorry for the delay in replying. Yes, thanks, this will do for the time being. I guess if I want to make it more precise Ill have to include time slices in the future on the dates when the fixing must be done and use the yield curve of that day to come of with a fixing for that date.

All the best

Mariano