Hi, Is there a way to exchange the DiscountingSwapLegPricer for a specific trade without having to create a trade calculation function? Due to some exotic features, I need to make some changes to/replace the ForwardInflationEndMonthRateComputationFn class. Thanks in advance. Oyvind
There isn’t an easy way to plugin alternate behaviour at that point I’m afraid.
Thanks for your reply. Changing the tradecalculation function turned out less daunting than expected. Absolutely doable.