yield curve for CAD.

[a akpitidis]

Hi,

 

Do you know if quantlib 8.0 or 9.0 supports the CAD swaps when it comes to yc building?

The floating index is 3m compounded to a 6 month payment. There is a reset at the end of the first 3 months.

 

Thanks

Tasos

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[Luigi Ballabio]

On Thu, 2008-02-28 at 15:17 +0000, a akpitidis wrote:
> Do you know if quantlib 8.0 or 9.0 supports the CAD swaps when it
> comes to yc building?
> The floating index is 3m compounded to a 6 month payment. There is a
> reset at the end of the first 3 months.

Hi Tasos,
        no, this is not supported at this time. If you want to try it, you'll
have to create a custom coupon class (inheriting from
FloatingRateCoupon) and implement the double-reset logic.

Luigi


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