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Include the source of the floating rate in EXPLAIN_PRESENT_VALUE #1362

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cjkent opened this issue Sep 30, 2016 · 0 comments
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Include the source of the floating rate in EXPLAIN_PRESENT_VALUE #1362

cjkent opened this issue Sep 30, 2016 · 0 comments
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@jodastephen
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Type:Enhancement
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v1.1

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@cjkent
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cjkent commented Sep 30, 2016

It would be useful if the ExplainMap for the floating leg of a swap indicated whether the rate was taken from a time series of fixings or from a forward curve.
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@cjkent @jodastephen