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From: Arkadiy N. <ark...@gm...> - 2023-08-02 02:31:41
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I wanted to create a GH issue (to suggest adding the parameter to SwapIndex signature), but want to make sure I am not missing anything https://github.com/lballabio/QuantLib/blob/520d62fdec38bfd0269f111ff0f7b04b24a4d56a/ql/indexes/swapindex.hpp#L41 I thought that perhaps it inherits from the reference iBORIndex, but that does not seem to be the case - a one-payment swap vs an iBOR with identical characteristics would generate identical fixings, until iBOR's endOfMonth is set to "True" Thank you! |