Posted by
Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/Swap-Valuation-Setting-the-LIBOR-IBOR-rate-tp5313p5314.html
On Mon, 2007-12-10 at 09:01 -0800, vema wrote:
> Hi, I am trying to evaluate the NPV of a plain swap whose settlement
> date is say (Oct 1, 2007) and matures say in 10 years. The fixed leg
> has a Semi-annual cash flow frequency and the floating leg an Annual
> cash flow. >From the definition of plain swaps, the value of the first
> floating coupon depends on the LIBOR rate 6 months ago and the
> remaining coupon rates are calculated via the bootstrapping and
> interpolation of the yield curve. So suppose the LIBOR rate is 4.3% so
> how do i set this?
Supposing "libor" is a (smart) pointer to your LIBOR instance, you can
write
libor->addFixing(d, 0.043);
where d is the corresponding fixing date.
Luigi
--
Testing can never demonstrate the absence of errors in software, only
their presence.
-- W.E. Dijkstra
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