Posted by
Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/Building-with-Microsoft-Visual-C-2010-tp8402p8407.html
On Wed, 2010-06-30 at 04:11 -0300, Lucio Dinoto wrote:
> We have to build plain vanilla, regular schedules for swaps with the
> particularity of having LONG front or back stubs, which means the
> first or last coupon could be potentially larger than the other ones,
> merging first (last) short coupon with next (previoys) one. Any
> recommendation or sample?
Passing a first date or a next-to-last date to the schedule should work
as the dates are concerned. For instance, for a long first coupon,
passing a first date will cause the schedule to skip the regular date
and put the passed first date into dates[1].
I'm not sure about accrual, though. Are there any particular rules for
compounding the interest over the long coupon, or it's just a rate
accrued for the length of the coupon?
Luigi
--
Dealing with failure is easy: work hard to improve. Success is also
easy to handle: you've solved the wrong problem. Work hard to improve.
-- Alan Perlis
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