QuantLib - Re: getting the set of reset dates of a float leg

Re: getting the set of reset dates of a float leg

Posted by Chak Jack Wong on
URL: http://quantlib.414.s1.nabble.com/RE-getting-the-set-of-reset-dates-of-a-f-loat-leg-tp2419p2420.html

Hi, Perssin,
Thanks a lot. However, the accrual start date is not really the reset date
the reset date is calender.advance( accrualstartdate, -fixingdate, Days, Preceding )
See FloatingReateCoupon::Amount()

Jack

Perissin Francesco wrote:

Hi Chak
given that leg_ is a std::vector<Handle<CashFlow> >
you could try:

std::vector<Handle<CashFlow> >::const_iterator begin, end;
begin = leg_.begin();
end   = leg_.end();
for (; begin != end; ++begin) {
        Handle<Coupon> coupon = *begin;
        QL_ENSURE(!coupon.isNull(), "not a coupon");
        Date payDate = coupon->date();
        Date cashFlowAccrualStartDate = coupon->accrualStartDate();
}

-----Original Message-----
From: Chak Jack Wong [[hidden email]]
Sent: Thursday, February 20, 2003 2:31 PM
To: [hidden email]
Subject: [Quantlib-users] getting the set of reset dates of a float leg
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.
What do I miss?
Jack
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This is not an offer (or solicitation of an offer) to buy/sell the securities/instruments mentioned or an official confirmation. Morgan Stanley may deal as principal in or own or act as market maker for securities/instruments mentioned or may advise the issuers. This may refer to a research analyst/research report. Unless indicated, these views are the author's and may differ from those of Morgan Stanley research or others in the Firm. We do not represent this is accurate or complete and we may not update this. Past performance is not indicative of future returns. For additional information, research reports and important disclosures, contact me or see https://secure.ms.com. You should not use email to request, authorize or effect the purchase or sale of any security or instrument, to send transfer instructions, or to effect any other transactions. We cannot guarantee that any such requests received via email will be processed in a timely manner. This communication is solely for the addressee(s) and may contain confidential information. We do not waive confidentiality by mistransmission. Contact me if you do not wish to receive these communications. In the UK, this communication is directed in the UK to those persons who are market counterparties or intermediate customers (as defined in the UK Financial Services Authority's rules).