Re: [Quantlib-users] Stub fixing rate

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

Hello Steve,
    this case is still not handled.  I'll try to put something together
(contributions are also welcome).  In the meantime, one workaround would be
to calculate the fixing and build the cash flows with the short coupon
modeled as a fixed-rate one.  It's definitely not optimal, because it won't
react if the forecast curve changes.

Regards,
    Luigi


On Tue, Mar 5, 2024 at 9:29 AM Steve Hsieh <war...@gm...> wrote:

> Hi all,
> I would like to know does QuanLib handle the stub fixing internally?
>
> For example, if I have a front short stub, that say 45 days, market
> convention will use linear interpolated fixing rate from 1-month and
> 2-month fixing.
>
> Does QuantLib handle this internally?
> If yes, which part of the code handle this?
> If not , how do I let model takes customized fixing?
> Many Thanks.
>
> Best Regards,
> Steve
>
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