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Re: EONIA swaps

Posted by Luigi Ballabio on Apr 20, 2005; 9:09am
URL: http://quantlib.414.s1.nabble.com/EONIA-swaps-tp3735p3738.html

On 04/19/05 13:11:01, Plamen Neykov wrote:

> Ok - No problem - I would try then to implement it by my self (just as a
> prototype). My naive way would be as follows:
> 1) extend the schedule class to cope with daily frequency.
> 2) create an EONIACoupon type (derived from FloatingRateCoupon)
> 3) create an EONIAIndex derived from Index
> 4) create a EONIARateHelper in order to be able to use EONIA quotes to
> bootstrap the curve
> 5) create an appropriate Instrument (EONIASwap)
>
> Unfortunately it does not cover all possible overnight index instruments,
> but it can be used as first cut prototype.
> What do you think?

Yes, that should work. Point 1) might be the trickiest...

Later,
        Luigi

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