Adding Missing Floating-Rate Bond Fixings in QuantLib

# Automatic fixing of missing floating rate in QuantLib's addFixing()


# Automatic fixing of missing floating rate in QuantLib's addFixing()












Due to the periodic fixing of floating rate bonds's coupon rates, in order to calculate the bond clean price one must tell the pricing engine to account for previous LIBOR rate fixing.

If I am right (I'm a very QuantLib noob), here is an example of how it works: in the `BONDS TO BE PRICED` chapter you can see

```
...
libor3m->addFixing(Date(17, July, 2008),0.0278625);
...
```

which says that the last fixing date was on 17 July 2008 and the rate fixed by the central bank was equal to $2.79\%$ on annual basis.

Now let you are using QuantLibXL's qlIndexAddFixings() to practically make the same of the `C++` code (the fixing will then be used as trigger in qlBondSetCouponPricer()) but you're playing with the evaluation date and a dozen of bonds: in this case you cannot specify the fixings by hand, neither you need a true past value but just something which sounds likely.

How can I make the fixing of every bond to be equal to a default value whatever the bond and the evaluation date without setting it by hand?

It would be possibly sufficient a way to extract the required last fixing date from a `FloatingRateBond` object.

## Answer by Lisa Ann (score 4, accepted)

https://quant.stackexchange.com/a/8949

I think to have the answer:

- use qlBondPreviousCashFlowDate() pointing at your `FloatingRateBond` object to get the last date of payment;

- use qlInterestRateIndexFixingDate() to get the fixing date referring to the last payment date;

- use qlIndexAddFixings() to add a fixing rate to the fixing date you got above;

- repeat for each one of your bonds if they share the same `IborIndex`.

So far I've tried this proceedings using several evaluation dates amended through qlCalendarAdvance() (TARGET calendar) just with the `Bonds.xls` spreadsheet, but spacing from 2M to 12M in the future doesn't give any issue and the pricing engine has always been able to find a price for the floating rate bond of the example.

P.S.: if someone familiar with the `C++` version wanted to explain the proceedings in that language, I'm sure it would be really appreciated.