Re: Irritated about dates in DiscountingSwapEngine

Posted by Luigi Ballabio on Jan 25, 2011; 12:18pm
URL: http://quantlib.414.s1.nabble.com/Irritated-about-dates-in-DiscountingSwapEngine-tp12035p12037.html

On Tue, 2011-01-25 at 13:05 +0100, Ferdinando Ametrano wrote:
> > I would appreciate any help getting the full
> > constructor of
> > DiscountingSwapEngine (discountCurve, includeSettlementDateFlows,
> > settlementDate, npvDate)
> > to work in SWIG or to evaluate a VanillaSwap without
> > using DiscountingSwapEngine.
>
> this is a legitimate request. I'm pretty sure Luigi will oblige to it.

The patch is in the mail.  I mean, it's attached.

Also, I confess I didn't fully understand your setup; but if you want
the reference date of the curve to follow the evaluation date, you can
instantiate the curve by passing a number of settlement days (possibly
0) and a calendar (possibly NullCalendar) instead of a fixed settlement
date. If you do so, the reference date of the curve will change when the
evaluation date does.

Luigi


--

The first rule of intelligent tinkering is to save all the parts.
-- Paul Erlich


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