Posted by
Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/Swap-Fixed-Leg-tp5967p5969.html
On Thu, Apr 19, 2012 at 6:06 PM, Ferdinando Ametrano <
[hidden email]> wrote:
> 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...
He wanted to include the final notional payment, though. I don't
think it's included in the above. I'll leave it to you to discuss
whether he should :)
Luigi
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