Re: getting the set of reset dates of a floatleg

Posted by Chak Jack Wong on
URL: http://quantlib.414.s1.nabble.com/getting-the-set-of-reset-dates-of-a-float-leg-tp2415p2418.html

Thanks Luigi,
The reset date for the floating rate coupon is not the accrualStartDate.  The rate is determined two days before (for EUR) or the same date (for GBP ) and those are the reset dates.  see the following code excerpt.
I check the dates, they look right.  But there is no way I can print them.  I was wondering if it will be a good idea to precompute those reset dates and store them.  I think it will be faster.

Jack

// from floatingratecoupon.cpp
 

 double FloatingRateCoupon::amount() const {
            Handle<TermStructure> termStructure = index_->termStructure();
            QL_REQUIRE(!termStructure.isNull(),
                       "null term structure set to par coupon");
            Date today = termStructure->todaysDate();
            Date fixingDate = index_->calendar().advance(
                accrualStartDate_, -fixingDays_, Days, Preceding);
 

Luigi Ballabio wrote:

At 01:31 PM 2/20/03 +0000, Chak Jack Wong wrote:
>Hi,
>I have got some trouble of getting all the reset dates from a float leg.
>
> From the FloatingRateCouponVector function, I can only get a vector<
>handle< cashflow > > , from which I can get  paydates, but not the reset
>dates.  I can't get this from the floatratecoupon either.

Does the following work?

std::vector<Handle<CashFlow> > v = ...
for (int i=0; i<v.size(); i++) {
     Handle<Coupon> c = v[i]; // assigning a Handle<T> to a Handle<U>
                              // performs a dynamic_cast
     Date start = c->accrualStartDate();
     Date end   = c->accrualEndDate();
     // print them or do whatever you need
}

Or maybe I just didn't get your question?

Later,
         Luigi

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