Re: IndexedCoupon and possible convexity adjustment

Posted by Nicolas Di Césaré on
URL: http://quantlib.414.s1.nabble.com/IndexedCoupon-and-possible-convexity-adjustment-tp3279p3281.html


Hi all,

Le mar 31/08/2004 à 11:50, Ferdinando Ametrano a écrit :
> 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.

Nando, I share your opinion : "a fixing is a fixing" and I think that
expected cashflows should be calculated in the PricingEngine. That
allows to "easily" compute in-arrear  and CMS (once the index is created
:-) cashflows using your favorite convexity-correction formulas.




--
Nicolas Di Césaré <[hidden email]>