Posted by
Ferdinando M. Ametrano-3 on
URL: http://quantlib.414.s1.nabble.com/Swap-Fixed-Leg-tp5967p5968.html
simone pilozzi <
[hidden email]> wrote:
> 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 ?
it's much more effective to just obtain the result using
vanillaswap.fixedLegBPS()
everything relevant will be included...
ciao -- Nando
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