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jomni
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Posts: 999
Joined: January 26th, 2005, 11:36 pm

Quantlibxl: Swaps floating leg problem

September 3rd, 2009, 2:48 pm

Hi,Is there a way to input the current coupon of the floating leg in QuantLibXl?I get no results for the first leg because it tries to get from the curve which is not backdated. And is there a way to just extract the cashflow column of the swap leg analysis array?
Last edited by jomni on September 2nd, 2009, 10:00 pm, edited 1 time in total.
 
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lballabio
Posts: 983
Joined: January 19th, 2004, 12:34 pm

Quantlibxl: Swaps floating leg problem

September 3rd, 2009, 3:28 pm

QuoteOriginally posted by: jomniIs there a way to input the current coupon of the floating leg in QuantLibXl?In C++, you would call Index::addFixing to store the libor rate at the fixing date. In XL is probably qlIndexAddFixing.Luigi
 
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jomni
Topic Author
Posts: 999
Joined: January 26th, 2005, 11:36 pm

Quantlibxl: Swaps floating leg problem

September 3rd, 2009, 9:52 pm

sorry but i'm very new to quantlib.can you show me how to use qlIndexAddFixings?
 
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lballabio
Posts: 983
Joined: January 19th, 2004, 12:34 pm

Quantlibxl: Swaps floating leg problem

September 4th, 2009, 7:48 am

Not really---I'm not familiar with QuantLibXL.But there shold be some example spreadsheet covering this.Why don't you try asking for help on the mailing list?
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