indexFixing( )

Posted by Li, Peter-2 on Aug 20, 2008; 8:50pm
URL: http://quantlib.414.s1.nabble.com/indexFixing-tp6526.html

Hi,

 

Why use iborcoupon::indexFixing( ) to override  fixedratecoupon::indexFixing( )?

It seems to me that the index rate will be forecasted based on the tenor (say 6M for LIBOR6M), that is as fixedratecoupon::indexFixing( ).

 

The iborcoupon::indexFixing( ) forcasts rate based on accrued period, that could be less than 6M for irregular coupon period.

 

It seems to me that fairRate( ) should call  fixedratecoupon::indexFixing( ) rather than iborcoupon::indexFixing( ),

 

Thanks,

Peter

 

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