Re: IRS conventions

[Bianchetti Marco-2]

People,
just to cross-check, but standard (eur) interest rate swaps quoted in
the market do have a fixed leg with ADJUSTED MODIFIED FOLLOWING
convention for accrual dates schedule, right ?
Many thanks
Marco

> -----Original Message-----
> From: [hidden email]
> [mailto:[hidden email]] On Behalf
> Of [hidden email]
> Sent: 15 November 2007 12:24
> To: [hidden email]
> Subject: [QuantLib-svn] SF.net SVN: quantlib: [13383] trunk/QuantLib
>
>
> Revision: 13383
>          
> http://quantlib.svn.sourceforge.net/quantlib/?rev=13383&view=rev
> Author:   nando
> Date:     2007-11-15 03:24:24 -0800 (Thu, 15 Nov 2007)
>
> Log Message:
> -----------
> fixed bug:
> - swap index business day convention for the fixed leg was
> ModifiedFollowing instead of Unadjusted.
> - MakeVanillaSwap default fixed accordingly
>
> Modified Paths:
> --------------
>     trunk/QuantLib/QuantLib_vc8.vcproj
>     trunk/QuantLib/ql/indexes/swap/euriborswapfixb.cpp
>     trunk/QuantLib/ql/indexes/swap/euriborswapfixifr.cpp
>     trunk/QuantLib/ql/indexes/swap/eurliborswapfixa.cpp
>     trunk/QuantLib/ql/indexes/swap/eurliborswapfixb.cpp
>     trunk/QuantLib/ql/indexes/swap/eurliborswapfixifr.cpp
>     trunk/QuantLib/ql/instruments/makevanillaswap.cpp
>
> Modified: trunk/QuantLib/QuantLib_vc8.vcproj
> ===================================================================
> --- trunk/QuantLib/QuantLib_vc8.vcproj 2007-11-15
> 11:12:16 UTC (rev 13382)
> +++ trunk/QuantLib/QuantLib_vc8.vcproj 2007-11-15
> 11:24:24 UTC (rev 13383)
> @@ -939,6 +939,10 @@
>   Name="ibor"
>   >
>   <File
> +
> RelativePath=".\ql\indexes\ibor\all.hpp"
> + >
> + </File>
> + <File
>  
> RelativePath=".\ql\indexes\ibor\audlibor.hpp"
>   >
>   </File>
> @@ -1019,6 +1023,10 @@
>   Name="swap"
>   >
>   <File
> +
> RelativePath=".\ql\indexes\swap\all.hpp"
> + >
> + </File>
> + <File
>  
> RelativePath=".\ql\indexes\swap\euriborswapfixa.cpp"
>   >
>   </File>
>
> Modified: trunk/QuantLib/ql/indexes/swap/euriborswapfixb.cpp
> ===================================================================
> --- trunk/QuantLib/ql/indexes/swap/euriborswapfixb.cpp
> 2007-11-15 11:12:16 UTC (rev 13382)
> +++ trunk/QuantLib/ql/indexes/swap/euriborswapfixb.cpp
> 2007-11-15 11:24:24 UTC (rev 13383)
> @@ -34,7 +34,7 @@
>                  EURCurrency(),
>                  TARGET(),
>                  1*Years, // fixedLegTenor
> -                ModifiedFollowing, // fixedLegConvention
> +                Unadjusted, // fixedLegConvention
>                  Thirty360(Thirty360::BondBasis), //
> fixedLegDaycounter
>                  tenor > 1*Years ?
>                      boost::shared_ptr<IborIndex>(new Euribor6M(h)) :
>
> Modified: trunk/QuantLib/ql/indexes/swap/euriborswapfixifr.cpp
> ===================================================================
> --- trunk/QuantLib/ql/indexes/swap/euriborswapfixifr.cpp
> 2007-11-15 11:12:16 UTC (rev 13382)
> +++ trunk/QuantLib/ql/indexes/swap/euriborswapfixifr.cpp
> 2007-11-15 11:24:24 UTC (rev 13383)
> @@ -34,7 +34,7 @@
>                  EURCurrency(),
>                  TARGET(),
>                  1*Years, // fixedLegTenor
> -                ModifiedFollowing, // fixedLegConvention
> +                Unadjusted, // fixedLegConvention
>                  Thirty360(Thirty360::BondBasis), //
> fixedLegDaycounter
>                  tenor > 1*Years ?
>                      boost::shared_ptr<IborIndex>(new Euribor6M(h)) :
>
> Modified: trunk/QuantLib/ql/indexes/swap/eurliborswapfixa.cpp
> ===================================================================
> --- trunk/QuantLib/ql/indexes/swap/eurliborswapfixa.cpp
> 2007-11-15 11:12:16 UTC (rev 13382)
> +++ trunk/QuantLib/ql/indexes/swap/eurliborswapfixa.cpp
> 2007-11-15 11:24:24 UTC (rev 13383)
> @@ -34,7 +34,7 @@
>                  EURCurrency(),
>                  TARGET(),
>                  1*Years, // fixedLegTenor
> -                ModifiedFollowing, // fixedLegConvention
> +                Unadjusted, // fixedLegConvention
>                  Thirty360(Thirty360::BondBasis), //
> fixedLegDaycounter
>                  tenor > 1*Years ?
>                      boost::shared_ptr<IborIndex>(new EURLibor6M(h)) :
>
> Modified: trunk/QuantLib/ql/indexes/swap/eurliborswapfixb.cpp
> ===================================================================
> --- trunk/QuantLib/ql/indexes/swap/eurliborswapfixb.cpp
> 2007-11-15 11:12:16 UTC (rev 13382)
> +++ trunk/QuantLib/ql/indexes/swap/eurliborswapfixb.cpp
> 2007-11-15 11:24:24 UTC (rev 13383)
> @@ -34,7 +34,7 @@
>                  EURCurrency(),
>                  TARGET(),
>                  1*Years, // fixedLegTenor
> -                ModifiedFollowing, // fixedLegConvention
> +                Unadjusted, // fixedLegConvention
>                  Thirty360(Thirty360::BondBasis), //
> fixedLegDaycounter
>                  tenor > 1*Years ?
>                      boost::shared_ptr<IborIndex>(new EURLibor6M(h)) :
>
> Modified: trunk/QuantLib/ql/indexes/swap/eurliborswapfixifr.cpp
> ===================================================================
> --- trunk/QuantLib/ql/indexes/swap/eurliborswapfixifr.cpp
> 2007-11-15 11:12:16 UTC (rev 13382)
> +++ trunk/QuantLib/ql/indexes/swap/eurliborswapfixifr.cpp
> 2007-11-15 11:24:24 UTC (rev 13383)
> @@ -34,7 +34,7 @@
>                  EURCurrency(),
>                  TARGET(),
>                  1*Years, // fixedLegTenor
> -                ModifiedFollowing, // fixedLegConvention
> +                Unadjusted, // fixedLegConvention
>                  Thirty360(Thirty360::BondBasis), //
> fixedLegDaycounter
>                  tenor > 1*Years ?
>                      boost::shared_ptr<IborIndex>(new EURLibor6M(h)) :
>
> Modified: trunk/QuantLib/ql/instruments/makevanillaswap.cpp
> ===================================================================
> --- trunk/QuantLib/ql/instruments/makevanillaswap.cpp
> 2007-11-15 11:12:16 UTC (rev 13382)
> +++ trunk/QuantLib/ql/instruments/makevanillaswap.cpp
> 2007-11-15 11:24:24 UTC (rev 13383)
> @@ -40,8 +40,8 @@
>        discountingTermStructure_(index->termStructure()),
>        type_(VanillaSwap::Payer), nominal_(1.0),
>        fixedTenor_(Period(1, Years)), floatTenor_(index->tenor()),
> -      fixedConvention_(ModifiedFollowing),
> -      fixedTerminationDateConvention_(ModifiedFollowing),
> +      fixedConvention_(Unadjusted),
> +      fixedTerminationDateConvention_(Unadjusted),
>        floatConvention_(ModifiedFollowing),
>        floatTerminationDateConvention_(ModifiedFollowing),
>        fixedBackward_(true), floatBackward_(true),
>
>
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