Tom Anderson
Tom Anderson
PR #1781 is related to this, and i would still like to work on it, as we are carrying a patch locally at the moment.
The `npv`, `bps`, and `npvbps` methods in `Cashflows` all take optional settlement date and NPV date parameters. What are those supposed to mean? I think i know, but i would...
What you say about the dates makes sense, so i will not write those up to the has-fixed logic. I take your point about this method not really simulating a...
At the moment, in my code we ultimately get the BPS by calling `swap.floatingLegBPS()`. For me, the ideal solution would change (IMHO, fix) the behaviour of that method. But it...
Fair enough. I would also like to get the "right" result for OISs. I'm not sure that can be done just by filtering the cashflows, because it needs to account...
Just noticed the Bank of Canada has been publishing a camaraesque version of CORRA for a while: https://www.bankofcanada.ca/2021/04/bank-canada-begin-publishing-corra-compounded-index/
Well, my first thought is that if there is some way i could do this myself (a plug-in sort of thing), then i could play around with it and come...
That would be fine for me - as long as i can redirect both to the same file!
I am still interested in working on this! Just don't have a lot of time for it. I started by doing a bit of reading and thinking. Bits of the...
@ShwetaliShimangaud I have not worked on this at all, so please go ahead.