On Wed, 2009-06-03 at 21:51 +0200, Eduardo Montoya wrote:
> Yes, definitely.
>
> it would be nice to know how difficult it is to implement.
> can it be derived from CMSRateBond class?
>
> what parts of the implementation need to be changed, etc...
I guess it rather depends on what model one wants to use (which in turn
depends on the features one wants to add. For instance, do we floor the
spread so that it's not negative?)
But in any case, I wouldn't use inheritance from CMSRateBond, since it's
a related but different kind of instrument.
Luigi
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