Posted by
Ferdinando Ametrano-4 on
URL: http://quantlib.414.s1.nabble.com/Re-QuantLib-svn-SF-net-SVN-quantlib-15947-trunk-QuantLib-tp12578p12579.html
On Fri, Feb 20, 2009 at 2:56 PM, Luigi Ballabio
<
[hidden email]> wrote:
> before the change, if the reference date for
> the term structure was 2 days from today, the schedule would start 5
> days from today. Now it starts 3 days from today, so there was some
> information in that parameter that cannot be retrieved elsewhere. The
> question is, was the past behavior the correct one, or is the new one?
the new one.
If the user doesn't input an explicit schedule the default assumption
has always been that he is pricing an asset swap with today as trade
date, i.e. with 3 settlement days in the case of EUR bond.
As a matter of fact both Chiara and I (which wrote the original code)
have been always using it this way with a discount curve's reference
date equal to today. Your refactoring just pointed out the possible
unexpected behaviour of 2+3 settlement days, which would not make
sense as default behaviour, whatever is your choice for the discount
curve's reference date.
ciao -- Nando
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