Re: Asset swap spread calculation

Posted by MDecau on Apr 13, 2015; 1:13pm
URL: http://quantlib.414.s1.nabble.com/Asset-swap-spread-calculation-tp16457p16471.html

Yes, that's true, I'm not using the right variable names in Program.cs and in MarketData.cs (for the pSettlementDate parameter). It should be TradeDate instead of SettlementDate at several places.

I think that I do
Settings::instance().evaluationDate() = settlementDate
in MarketData.cs through :
todaysDate = calendar.advance(settlementDate, -fixingDays, TimeUnit.Days);
Settings.setEvaluationDate(todaysDate);