Swap Fixed Leg

Posted by simone pilozzi on
URL: http://quantlib.414.s1.nabble.com/Swap-Fixed-Leg-tp5967.html

Hi all,
I am trying to get the bpv of a swap fixed leg. I am using this syntax:

fixedleg = vanillaswap.fixedLeg();

dv01 =CashFlows::basisPointValue(fixedleg,yield,fixed_dc, Continuous,
                fixed_frequency,true,settlement_date);
In doing like this, the final notional repayment will not be included in the bpv isn' it ? If this is the case how can I include this ?

Thanks

------------------------------------------------------------------------------
Better than sec? Nothing is better than sec when it comes to
monitoring Big Data applications. Try Boundary one-second
resolution app monitoring today. Free.
http://p.sf.net/sfu/Boundary-dev2dev
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users