Re: Asset swap spread calculation

Posted by MDecau on Apr 13, 2015; 1:48pm
URL: http://quantlib.414.s1.nabble.com/Asset-swap-spread-calculation-tp16457p16473.html

Yes I shift it backward. Is that wrong? I just did it because it was done that way in the QLNet example (here). I am not sure of what this global evaluationDate does actually.

So I tried to output the dates. I got :
trade date = 07-04-2015
global eval date = 07-04-2015
yts ref date = 07-04-2015
settlement date = 09-04-2015

However, I have two yield term structure. bondDiscountingTermStructure and depoSwapTermStructure. When I hard code 7-4-2015 in depoSwapTermStructure as you said, it does not have any effect. But if I do it in bondDiscountingTermStructure, it changes my swap NPV and my swap spread to the right values.

Did you mean to change the date in bondDiscountingTermStructure instead of depoSwapTermStructure?
Then, should I change it to trade date in both yts or just in the first one?

And I also tried to set includeReferenceDateCashFlows to true. It also worked (with bondDiscountingTermStructure reference date on 09-04-2015).