Re: [Quantlib-users] Floor with Step Down notionals

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

Yes, I'd say so.  In order to check it, once you've built the leg, you can
inspect the notionals like this:

Leg leg = ...

for (Size i=0; i<leg.size(); ++i) {
    boost::shared_ptr<Coupon> c =
boost::dynamic_pointer_cast<Coupon>(leg[i]);
    cout << i << "\t" << c.nominal() << endl;
}

Luigi


On Wed, Aug 24, 2016 at 11:19 AM Ghorpadkar, Suhas <
suh...@ab...> wrote:

> I am trying to value a floor with step down notional. The floor start date
> is March 31st, 2007 and end date is March 31st, 2017.
>
> The original notional is 1M and the step down schedule starts on March 29
> th, 2012 and ends on March 31st,2017 with 100,000 decrement per year.
>
> I see that IborLeg has a withNotionals method that takes in a vector of
> Notionals. However, it’s not clear to me how to populate
>
> this vector based on the notional schedule I have. Should the vector have
> as many elements as there are periods ?
>
> The index is USD 3M Libor, so that there are 20 3M periods from March 2007
> to March 2012 and then there will be 4 periods for each year after.
>
> So should the vector have 20 notionals with 1M each and then 4 with
> 900,000 , another 4 with 800,000 etc ?
>
>
>
> Thanks,
>
> Suhas
>
>
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