Posted by
Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/Swap-Fixed-Leg-tp5967p5972.html
Simone,
take a copy of the vector and add the final payment:
vector<shared_ptr<CashFlow> > fixedleg = vanillaswap.fixedLeg();
shared_ptr<CashFlow> final_payment(new SimpleCashFlow(notional, maturity));
fixedLeg.push_back(final_payment);
dv01 = ...
Luigi
On Wed, Apr 18, 2012 at 5:25 PM, simone pilozzi <
[hidden email]> wrote:
> 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
>
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