Re: IndexedCoupon and possible convexity adjustment

Posted by Ferdinando M. Ametrano-3 on
URL: http://quantlib.414.s1.nabble.com/IndexedCoupon-and-possible-convexity-adjustment-tp3279p3280.html

Hi Luigi

>what would a user (you) expect from the fixing() method
>of a coupon based on an index---simply the theoretical fixing of the
>index, or the convexity-adjusted value?

In my opinion a fixing is a fixing: it belongs to the underlying index_
more than to any coupon and it shouldn't be adjusted.
I would keep a fixing() method in the coupon as a simple proxy to the
underlying index and add an accrualRate() method that could be (neglecting
any spreads for clarity):

accrualRate() => return index_->fixing(fixingDate()) + adjustment();

or even better:

accrualRate() => return *this->fixing(fixingDate()) + adjustment();

ciao -- Nando