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Hi all,
First of all, ORE is an excellent initiative – thank you very much for putting this in the public domain.
Just wondering whether it can handle zero coupon trades? So for example, the floating leg compounds over each interest period, with just one compounded cashflow paid at maturity. I couldn’t see any such option in section 7.3.2 of the User Guide which concerns the LegData component.
Cheers,
John
Hi John,
if the cashflow is deterministic you can use a cashflow leg for this. Otherwise it is currently not covered I am afraid.
Best Regards
Peter
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