http://quantlib.414.s1.nabble.com/RE-getting-the-set-of-reset-dates-of-a-f-loat-leg-tp2419p2423.html
Hi, I propose to add two functions to the FloatingRateCoupon.hpp, I wonder if people
//! the first date it looks up the discount curve when valuing the libor payment
//! divided by the discount at the fixingValueDate minus one is the value
return index_->calendar().advance( fixingDate(), index_->settlementDays(),
Date temp = index_->calendar().advance(accrualEndDate_,-fixingDays_, Days);
return index_->calendar().advance(temp, index_->settlementDays(), Days);
This is useful in retrieving dates information for cashflow display and construction of
> Thanks a lot Nicolas and Luigi, I will check out the CVS version.
> Jack
>
> Nicolas Di Césaré wrote:
>
> > En réponse à Chak Jack Wong <
[hidden email]>:
> >
> > Hi all,
> >
> > The solution is in the cvs tree. Now, the FloatingRateCoupon contains a virtual
> > fixingDate() method. The use of Handle<FloatingRateCoupon> provides you
> > a fixing date.
> >
> > Nicolas
> >
> > > 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 [mailto:
[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
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> deal as principal in or own or act as market maker for securities/instruments
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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
. 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
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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