QuantLib 1.2 and userconfig.hpp

[Smith, Dale (Norcross)]

Hello,

 

I just downloaded QuantLib 1.2 for testing purposes and reviewed the user configuration

 

http://quantlib.org/reference/config.html

 

I am now looking at userconfig.hpp module and don’t find the symbol QL_TODAYS_PAYMENTS. Coincidentally, we had some discussions at my firm regarding whether we want today’s payments in the NPV or not, so this is of some interest.

 

Would you please advise the status of QL_TODAYS_PAYMENTS?

 

If undefined (the default,) payments are considered to be settled at the beginning of the day. Therefore, payments occurring at today's date are not included in the NPV of an instrument.

 

Thanks,

Dale Smith, Ph.D.

Senior Financial Quantitative Analyst

Risk & Compliance

Fiserv.

107 Technology Park

Norcross, GA 30092

Office: 678-375-5315

Mobile: [phone]

Mail: [hidden email]

www.fiserv.com

 

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[Luigi Ballabio]

Hello Dale,
    the option is now set at run-time.  See
Settings::includeReferenceDateCashFlows.
Sorry I missed that in the release notes and the docs.  Teaches us to
write better commit messages...

Luigi

On Wed, Mar 7, 2012 at 1:52 PM, Smith, Dale <[hidden email]> wrote:

> I just downloaded QuantLib 1.2 for testing purposes and reviewed the user
> configuration
>
> http://quantlib.org/reference/config.html
>
> I am now looking at userconfig.hpp module and don’t find the symbol
> QL_TODAYS_PAYMENTS. Coincidentally, we had some discussions at my firm
> regarding whether we want today’s payments in the NPV or not, so this is of
> some interest.
>
> Would you please advise the status of QL_TODAYS_PAYMENTS?

------------------------------------------------------------------------------
Virtualization & Cloud Management Using Capacity Planning
Cloud computing makes use of virtualization - but cloud computing
also focuses on allowing computing to be delivered as a service.
http://www.accelacomm.com/jaw/sfnl/114/51521223/
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users