Re: [Quantlib-dev] discount margin

[Luigi B. <lui...@gm...>]

I gave the beginning of an answer when the same question was asked at <
http://quant.stackexchange.com/questions/8965/setting-up-schedule-for-an-amortizing-floater-in-quantlib>,
but there's no working code there. You can check if the methodology is
sound, though (I'm not sure of that myself).

Luigi


On Thu, Feb 19, 2015 at 5:12 PM, Ferdinando M. Ametrano <
fer...@am...> wrote:

> Hello
>
> has anyone ever implemented floating bond discount margin evaluation in QL
> C++.
>
> I need to tackle this, but would love to leverage my laziness :-)
>
> thx
> F
>
>
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