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Hi,
On 2004.03.08 15:00, Andre Louw wrote:
> I have a query on the way parcoupon calculates it's cashflow.
[ snipped ]
> 3) These discount factors are then applied over the original
> unadjusted period (accrualEndDate-accrualStartDate)
>
> Point 3 raises the concern that, although the discount factor dates
> have been adjusted, the period over which they are applied has not in
> turn been adjusted to reflect this, does this make sense?
>
> Am I missing some market convention, or what?
No, just the comment above the ParCoupon definition :)
/*! \warning This class does not perform any date adjustment,
i.e., the start and end date passed upon construction
should be already rolled to a business day.
*/
It was a while ago, but I think we decided for delegating the
adjustment because a) coupon dates come most often from Schedule
instances, and the latter take care of the adjustment already; and b)
the coupon would otherwise need a Calendar instance (since in principle
the calendar for date adjustment could be different than the calendar
of the index) and we tried to keep it slim instead.
Later,
Luigi
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