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Re: Floating Coupons

Posted by Toyin Akin-3 on Apr 01, 2002; 7:09am
URL: http://quantlib.414.s1.nabble.com/Floating-Coupons-tp1948p1954.html

Hi Luigi,

Some other thing about the fixings... will be how your payment dates and
fixing dates are
determined. You may have two banks, one in London, one in New York where a
LIBOR fixing is to be paid to the New York bank. You must have 2 calendars.
A fixing calendar with London holidays only and a payment calendar of both
London and New York. Thus for a particular
fixing rate, you need 2 calendars. It's even worst than that, a client may
want a fixing rule of 1
day rather than the default of 2 days. A client may even specify the holiday
location s/he requires
for a paricular deal. At the moment the quantlib classes present the default
for the currency and
thus there is no way to present a customised fixing for a user without using
derivation.

The nightmare begins... :-)

Regards,
Toy.


----- Original Message -----
From: "Luigi Ballabio" <[hidden email]>
To: "Toyin Akin" <[hidden email]>;
<[hidden email]>
Sent: Monday, April 01, 2002 1:17 PM
Subject: Re: [Quantlib-users] Floating Coupons


>
> Hi Toyin,
> well, I told you I was stepping out to show my ignorance...
> I'm satisfied with your points now. I'm still not satisfied with my
> own classes, since I suspect there's some redundancy in the
> parameters which can mislead users. I'll have to look into that.
>
> Thanks for having been an excellent sparring partner.
>
> Bye,
> Luigi
>
> --