[Quantlib-dev] Re: Arrears fixing floating coupons / Averaging indexes

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

At 01:20 PM 3/11/03 +0200, Andre Louw wrote:
>I am in need of an arrears fixing swap. I assume you have given it some
>thought?

Andre,
         Nicolas committed a few classes a couple of weeks ago which might 
be the ones you need. You can check out the current CVS tree and look into 
ql/CashFlows --- in particular, IndexedCoupon, InArrearsIndexedCoupon, and 
UpFrontIndexedCoupon.

Later,
         Luigi