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-tp3279p3283.html

Hi all

Luigi wrote:
>[hidden email] wrote:
>>It would be great to insert a CMS index as well. It is widely used
>>and in this case the adjustment is really significant.
>
>Yes, it could be done--the CMS index would return the forward swap
>rate, and the CMS coupon (deriving from IndexedCoupon) would adjust it.


c'mon Enrico: time to contribute your CMS index to QuantLib ;-)

ciao -- Nando