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Re: IborIndex and valuation of swaps

Posted by Lluis Pujol Bajador on Jul 15, 2009; 7:37pm
URL: http://quantlib.414.s1.nabble.com/IborIndex-and-valuation-of-swaps-tp7810p7813.html


I don't really understand the question but if you try to obtain next floating coupons in order to value a swap then:


Both ways should give you same result.

Anyway I don't thing you need to do anyhing like that, just use built-in Quantlib functions. just look at the swap example.


Lluís


On Wed 15/07/09 09:42 , dhoorens <[hidden email]> wrote:


Actually my question is more general
Suppose I have to price a swap at 31/12/2008
The only informations I have are the yieldCurve at 31/12/2008 and the
characteristics of the swap (notional, fixrate, index followed by floating
leg, maturity (frequencies of both legs are annual))

How can be the floating rate used for next coupon be determined by these
informations?
My idea was "it must be an input".. but i"m not sure
Tks
David

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