Posted by
Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/CDS-stubs-schedules-rule-tp13071p13072.html
On Tue, 2009-09-22 at 08:13 +0200, Jose Aparicio-Navarro wrote:
> I have added a new rule to account for the long stub.
>
> I have also forced unadjustment on the first schedule date in this case since
> theres no particular convention variable for that date. If we want a convention
> on the startDate we pass it already adjusted (as it is done in the helpers).
>
> Another small change I would like to request is for the cds helpers not to
> adjust the final protection date accrual, which is the default convention.
Ok. As they used to say, if anybody is against this, speak now or
forever hold your peace. Or at least hold it until some future release.
Luigi
--
Cogito ergo I'm right and you're wrong.
-- Blair Houghton
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