Re: Floating Rate on Trinomial tree

Posted by Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/Floating-Rate-on-Trinomial-tree-tp3933p3936.html

On 07/28/2005 09:56:23 AM, Kim, Hyung Geun wrote:
>
> Thank Luigi, I got it.
> I thought fixingdays for swap should affect floating Libor rate on
> tree.

They should, but such effect isn't implemented at this time.
It would make a nice contribution :)

Later,
        Luigi

----------------------------------------

If I do not want others to quote me, I do not speak.
-- Phil Wayne