Re: When to exclude payment from SWAP valuation

Posted by Luigi Ballabio-2 on Jul 20, 2004; 7:43am
URL: http://quantlib.414.s1.nabble.com/When-to-exclude-payment-from-SWAP-valuation-tp10622p10623.html

On 2004.07.13 14:50, Andre Louw wrote:
> 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?

The main problem right now is that the term structure does not  
extrapolate backwards to today's date.

> Is there a specific market convention applicable to this?

I don't know. Anybody?

In the meantime, you can create your term structure with referenceDate  
= todaysDate and capitalize 2 days...

Later,
        Luigi