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

Posted by Luigi Ballabio-2 on
URL: http://quantlib.414.s1.nabble.com/RE-getting-the-set-of-reset-dates-of-a-f-loat-leg-tp2419p2425.html

At 02:02 PM 2/20/03 +0000, Chak Jack Wong wrote:
>Thanks a lot.  However, the accrual start date is not really the reset date
>the reset date is   calender.advance( accrualstartdate, -fixingdate, Days,
>Preceding )

Oops, disregard my first mail---I sent it before receiving Francesco's and
yours.

You stumbled upon an obvious oversight on our part. With the CVS version,
you can write:

for (i=leg.begin(); i!=leg.end(); ++i) {
     Handle<FloatingRateCoupon> c = *i;
     Date d = c->fixingDate();
     ...
}

but there was no such method in release 0.3.1. You can add it by applying
the patch I'm including below.

Sorry for the inconvenience,
                                 Luigi

-- Here's the patch --

*** oldfloatingratecoupon.hpp   Wed Jan 08 11:00:16 2003
--- floatingratecoupon.hpp      Thu Feb 20 14:36:10 2003
***************
*** 63,68 ****
--- 63,69 ----
               //@{
               const Handle<Indexes::Xibor>& index() const;
               int fixingDays() const;
+             Date fixingDate() const;
               virtual Rate fixing() const;
               Spread spread() const;
               //@}
***************
*** 86,91 ****
--- 87,97 ----

           inline int FloatingRateCoupon::fixingDays() const {
               return fixingDays_;
+         }
+
+         inline Date FloatingRateCoupon::fixingDate() const {
+             return index_->calendar().advance(
+                 accrualStartDate_, -fixingDays_, Days, Preceding);
           }

           inline Rate FloatingRateCoupon::fixing() const {