Posted by
Ferdinando M. Ametrano-2 on
Dec 31, 2002; 10:23am
URL: http://quantlib.414.s1.nabble.com/Some-issues-tp10189p10190.html
Hi Jens
>A) Term Structures:
>
>ZeroSpreadedTermStructure and ForwardSpreadedTermStructure BOTH
>implement/override forwardImpl() AND zeroYieldImpl(), resulting in an
>identical behaviour.
Unless I'm missing something this is probably due to the fact that the
spread is assumed to be constant: in this case spreading the zero or
forward curve is the same.
Things would be different if the spread was a curve, and there is a warning
in ForwardSpreadedTermStructure:
//! returns the spreaded forward rate
Rate forwardImpl(Time, bool extrapolate = false) const;
//! returns the spreaded zero yield rate
/*! \warning This method must disappear should the spread become a
curve
*/
Rate zeroYieldImpl(Time, bool extrapolate = false) const;.
and a mirror warning in ZeroSpreadedTermStructure:
//! returns the spreaded zero yield rate
Rate zeroYieldImpl(Time, bool extrapolate = false) const;
//! returns the spreaded forward rate
/*! \warning This method must disappear should the spread become a
curve
*/
Rate forwardImpl(Time, bool extrapolate = false) const;
>Johannesburg calendar class:
> Saturday not documented but implemented as holiday
fixed
> may need to add: Human Rights Day 21 March
> (see
http://www.national-holidays.com/)
it looks to me it's already taken into account
>London calendar class:
> Some exceptions not properly documented but implemented
done. I'm not sure it's worthwhile to document one-off holidays as December
31 1999, or June 3rd, 2002 (Golden Jubilee Bank Holiday), June 4rd, 2002
(special Spring Bank Holiday). If anybody thinks it should be done, please
just go ahead and commit the appropriate comments
>Budapest implementation:
> Nov 1st is "All Saints Day", not Labour day.
fixed
> Documentation from Wellington???
what's the problem here?
>Toronto:
> Some forwards to Monday are not documented but implemented
done. I have a remaining problem with November 11th, possibly moved to
Monday (Remembrance Day):
((d == 11 || (d == 12 && w == Monday)) && m == November)
from the above line I read that it's moved to Monday 12 if the 11th is on
Sunday, but what if the 11th is on Saturday? Shouldn't the Remembrance Day
move to Monday 13 in thus case?
Luigi?
>B) ShortFloatingRateCoupon vs. FloatingRateCoupon
>Method amount(): Usage of Preceding for rolling back fixing dates is
>different and has changed compared to earlier CVS version.
I'll leave that to Luigi
>Sydney calendar
>
> Documentation from Wellington???
> New Years day possibly not moved?
> (see
http://www.national-holidays.com/)
Left to Luigi
We could add
http://www.national-holidays.com/ in the documentation if we
think it is a good resource
------------
ciao -- Nando