|
|
On 03/09/2006 12:58:30 PM, ago wrote:
> The settlement date, as I learn (thanks Luigi), is set by
> Settings.instance().evaluationDate()
Not exactly---that way, you're setting today's date.
> So what is the use of the settlementDate argument in
> PiecewiseFlatForward?
It is the reference date of the curve, as distinct from today's date.
Today's date is used to determine the relevant dates of the rate
helpers; for instance, if one passed a deposit helper with settlement
days = 2, the underlying period for the corresponding deposit will
start 2 business days from today and end, say, 6 months later.
The reference date, on the other hand, is when one wants the discount
factor to equal 1. It can be at the settlement of the first underlying
deposit or earlier; for instance, one might bootstrap a curve with
instruments having 2 settlement days as above, but the curve itself
might have today's date as reference (so that one could retrieve from
the curve the overnight or spot-next rate---not that I advise it,
though.)
Also, one might consider using the other curve constructor, which takes
a number of settlement days instead of a settlement date. This way, it
might be clearer that one wants unit discount to be defined, say, 2
business days from today.
Hope this helps,
Luigi
----------------------------------------
standards, n.:
The principles we use to reject other people's code.
|
Locked
