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June 4, 2017 at 10:38 pm
#6138
Anonymous
Inactive
Hi bmayer,
The problem we have seen before is from a QuantLib point of view, there is no categorisation of cashflows built in, they are just amount/date pairs. If you make assumptions (e.g. that Coupon means cashflow=INT) this might not always work (e.g. for something that inherits from Coupon). There is already some logic in writeCashflows() to handle some of the different cashflow types, is but as more trade types are added it might become difficult.
So if you really need this categorisation than I don’t think there is a better way to get this information, are you going to create an MR on github?
Regards,
Niall.