When to exclude payment from SWAP valuation
Posted by Andre Louw-2 on Jul 13, 2004; 7:02am
URL: http://quantlib.414.s1.nabble.com/When-to-exclude-payment-from-SWAP-valuation-tp10622.html
Hi,
Just a quick question.
Looking at the swap module I see QuantLib
excludes cashflows from the NPV of a Swap according to the termstructure's
settlementDate. Depending on how you look at it, could this not alternatively
be todaysDate? Could we maybe add a ifdef to give the flexibility for both?
Is there a specific market convention applicable to this?
Andre