Floating Coupons and Yield Curve stripping
Posted by
Toyin Akin-3 on
Mar 28, 2002; 10:13am
URL: http://quantlib.414.s1.nabble.com/LexicographicalView-class-help-tp1903p1905.html
Re: [Quantlib-users] LexicographicalView class help!!
Hi,
By the way, I haven't looked at your code for the
YieldCurve stripping, but you can employ the
reduction of the floating leg to the exchange of
principles to speed up the YieldCurve stripping
while solving for the end discountfactor for
swaps.
Quick request, if a user adds five years of futures
to his/her yieldcurve and then swaps from three
years onwards, can we have some sort of setting
that indicates whether we would like to have
futures overides swaps (use all futures and then
swaps after five years) or swaps overrides futures
(use all swaps, thus only the first three years of
futures.). Same argument for deposits over futures.
Toy.