Query on accrualPeriod used in parcoupon amount()

Posted by Andre Louw-2 on Mar 08, 2004; 6:21am
URL: http://quantlib.414.s1.nabble.com/Query-on-accrualPeriod-used-in-parcoupon-amount-tp10490.html


Luigi,

I have a query on the way parcoupon calculates it's cashflow.

The way I read it:

        1) The start discount factor date is calculated as a) accrualStartDate adjusted by the fixing lag and rolled 'Preceding' (= fixingDate) and b) fixingDate adjusted by the settlement lag and rolled 'Following' (= fixingValueDate)
        2) The end discount factor date is as above but using the accrualEndDate as the start point
        3) These discount factors are then applied over the original unadjusted period (accrualEndDate-accrualStartDate)

Point 3 raises the concern that, although the discount factor dates have been adjusted, the period over which they are applied has not in turn been adjusted to reflect this, does this make sense?

Am I missing some market convention, or what?

Andre