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Re: Some issues

Posted by Luigi Ballabio-2 on Jan 08, 2003; 8:00am
URL: http://quantlib.414.s1.nabble.com/Some-issues-tp10189p10191.html

Hi,
         sorry for the delay.

At 06:41 PM 12/31/02 +0100, Ferdinando Ametrano wrote:
>Hi Jens
>>A) Term Structures:
>>
>>ZeroSpreadedTermStructure and ForwardSpreadedTermStructure BOTH
>>implement/override forwardImpl() AND zeroYieldImpl(), resulting in an
>>identical behaviour.

It is not really necessary for ZeroSpreadedTermStructure to implement
forwardImpl(); the same goes for ForwardSpreadedTermStructure and
zeroYieldImpl(). However, while the spread is constant it is more efficient
to implement both---especially in the case of ForwardSpreadedTermStructure,
since the default zeroYieldImpl(t) would perform a numerical integration of
the forwards from 0 to t.


>>   Documentation from Wellington???
>what's the problem here?

Fixed.

>>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?

Yes, the above is probably wrong. However, national-holidays.com and a
couple other sources say that the holiday doesn't move at all. Oh well. Fixed.


>>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

Oh, yes. As for the changes, there was quite a bit of confusion about
fixing dates. I think the current version is the correct one. As for the
difference between short and regular floating coupon, it's not really there
as Preceding does nothing just as Following, and Following is the default.
But you're right, I'll throw in a Preceding just for clarity.

>>Sydney calendar
>>
>>   Documentation from Wellington???
>>   New Years day possibly not moved?
>>         (see http://www.national-holidays.com/)

Done.

Bye,
         Luigi