Query on accrualPeriod used in parcoupon amount()

[Andre Louw-2]

Luigi,

I have a query on the way parcoupon calculates it's cashflow.

The way I read it:

        1) The start discount factor date is calculated as a) accrualStartDate adjusted by the fixing lag and rolled 'Preceding' (= fixingDate) and b) fixingDate adjusted by the settlement lag and rolled 'Following' (= fixingValueDate)
        2) The end discount factor date is as above but using the accrualEndDate as the start point
        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?

Andre

[Luigi Ballabio-2]

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