Posted by
Luigi Ballabio-2 on
Jan 13, 2003; 6:34am
URL: http://quantlib.414.s1.nabble.com/Some-issues-tp10189p10203.html
At 07:50 PM 1/10/03 +0100, Ferdinando Ametrano wrote:
>At 06:37 PM 1/10/2003 +0100, you wrote:
>>In C#, I fixed at least the test with
>> DateTime todaysDate = calendar.Roll(DateTime.Today);
>I second this fix. The problem in my opinion was only in the test, not in
>QuantLib. QuantLib assumes that on Sunday you are required to know
>Friday's fixings. This is correct, since those fixings happened in the
>real world.
>
>You are not supposed to run the test on Sunday ;-) without taking into
>account Friday's fixings.
>
>Am I missing something?
Well, if you're pricing an instrument, you're right.
But the problem is that as far as I see, it's the bootstrapping itsels that
fails. This happens because the swaps inside the SwapRateHelpers look for
Friday's fixing, which they are not supposed to do anyway---that would be
like saying that when bootstrapping the curve on Wednesday afternoon, the
swaps inside the rate helpers should use the mid-day fixings for evaluating
their first coupon. You don't want to do that---the set of deposit and swap
rates you passed to the curve should suffice.
Well, let's say that as a temporary measure we can roll the date in the test.
I'll make the changes after sending this mail. But in the long run, we
can't just say that one can't bootstrap a curve on Sundays. It sounds too
much like the old joke ("Doctor, my arm hurts when I do this." "Well, don't
do it.")
Later,
Luigi