http://quantlib.414.s1.nabble.com/ForecastFixing-issue-option-paying-InArrears-tp15766p15768.html
> Hello,
>
> Facing an issue with IborIndex::forecastFixing(...) function -
> <root>\ql\indexes\iborindex.cpp.
> What is the difference between 'fixingValueDate' and 'fixingDate' [QLib v1.1
> variable names]
>
> We are using QLib 1.1 - but have compared the functionality in v1.4 as well
> - but no business logic has changed.
> Only that v1.4 enhances the error catching (to prevent a 0/0) and it is more
> modularized.
>
> Business case:
> Trying to price an Option-let (Caplet / Floorlet) which is Fixed in
> *Arrears*. We pass, the fixing days as '2 business days prior' during the
> IborLeg formation.
> [This can be simulated by any floating rate instrument which requires a
> forecasted fixing]
> During the evaluation of Option via the pricing engine, the fixing_date is
> returned as 2 days prior to maturity of the leg.
> Since, the fixing_rate is in the future, it has to be forecasted. It ends up
> in the above function.
>
> We believe there is a bug in calculation of period between fixing_value_date
> and end_value_date. [QLib v1.4 variable names inside flower braces{}]
> Basically, in the function, this turns out to be zero. The reason being, the
> passed in (parameter) fixing_dateis converted to fixing_value_date {d1} -
> via the function valueDate.
> valueDate function, 'advances' the fixing_date by fixing_days (which is 2)
> to return the mautrity date of the option-let.
> The end_value_date {d2} would turn out to be maturity date.
> Therefore it is zero.
>
> This is solved, by choosing to calculate the term between unaltered
> fixing_date and end_date.
> The discount factors would be different (depending on the curve) and
> forecast fixing would be generated.
>
> Have tried to search the forums with 'forecastFixing' but have not found any
> relevant material.
> Would be glad if someone pointed out any information.
> I will raise this as a bug - for now, but would be glad to stand corrected -
> and learn the right usage.
>
>
> Thanks
> Pavan M
>
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