Posted by
Luigi Ballabio on
Aug 27, 2008; 7:28pm
URL: http://quantlib.414.s1.nabble.com/indexFixing-tp6526p6529.html
On Aug 26, 2008, at 7:20 PM, Li, Peter wrote:
> Sorry for the confusion.
>
> I mean in floatingratecoupon.cpp,
> Rate FloatingRateCoupon::indexFixing() const {
> return index_->fixing(fixingDate());
> }
> It will return the forward rate based on the tenor (say 6M for
> LIBOR6M).
>
> However, in the iborcoupon.cpp, iborcoupon::indexFixing( ) overrides
> FloatingRateCoupon::indexFixing( ).
> It returns forward rate based on accrued period, that could be less
> than
> 6M for irregular coupon period even though the index is LIBOR6M.
You're right---this breaks the semantics of indexFixing(). I guess
that the idea was to implement par coupons, as per market practice---
but the right place to do it would probably be the rate() method.
Nando, this is part of the refactoring done in your group a while ago.
Do you remember what was the rationale for this design?
Luigi
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