|
From: Monkey <fee...@ya...> - 2010-09-01 18:23:05
|
> To make this case work, you'd have to patch > DepositRateHelper::impliedQuote() and have it calculate the deposit rate > off the curve instead of using iborIndex_->fixing---or maybe you can > patch it so that the fixing date is moved to today. Hmm. I think it is preferable to change the fixing date. I'll take a look and report back any progress. Thanks. |