Re: Using QuantLib to value a Zero Coupon Swap
Posted by Luigi Ballabio on Apr 04, 2006; 4:56am
URL: http://quantlib.414.s1.nabble.com/Using-QuantLib-to-value-a-Zero-Coupon-Swap-tp4652p4653.html
On 03/24/2006 01:53:16 PM, Keith Weintraub wrote:
> Could any of you point me to an example (or give me an example) of
> how to value a Zero Coupon Swap in QuantLib?
Apologies for the delay.
You can use the Swap class and pass it two cash-flow vectors reflecting
the payments. For the zero leg, you can create a
vector<shared_ptr<CashFlow> > and add a single SimpleCashFlow; the
floating leg can be built be means of the functions in
ql/CashFlows/cashflowvectors.hpp (possibly appending to the returned
vector a SimpleCashFlow to balance the zero leg, if the cash flow in
the latter included the exchange of the notional.)
Luigi
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