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How does the isInArrears affect the quantlib IborLeg?

In QuantLib the following occurs for the floating coupon if isInArrears is true: ...
Xiarpedia's user avatar
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3 votes

When are daycounts needed for the floating leg of a swap?

You are reliant on the formula for the rate of the floating period being as stated: $$ F_t = \left ( \frac{P(t-1)}{P(t)} - 1 \right ) \frac{1}{\delta_t} $$ and the period DCF $\delta_t$ being equal. ...
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2 votes

FRN duration when discount curve and projection curve have non-perfect correlation

In that case the duration needs to be carefully defined and interpreted. To first order, the duration is approximately zero, because the simplest assumption is to move the projection curve (5yr ...
dm63's user avatar
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