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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