Posted by
Peter Caspers-4 on
Apr 13, 2015; 2:07pm
URL: http://quantlib.414.s1.nabble.com/Asset-swap-spread-calculation-tp16457p16474.html
no, the dates look plausible.
It's a bit confusing, because your discounting and depo-swap
termstructures look similar and the discounting ts is used for the
Euribor index.
But yes, the reference date should be 07-04-2015 in both, then you
will get all flows > 07-04-2015 in your NPV by default. Or if you set
includeReferenceDateCashFlows to true, you will get all flows >=
07-04-2015.
You can also use the 09-04-2015 for the termstructures, but then you
have to include the reference date cash flows, otherwise you will miss
the upfront payment from the asset swap.
best regards
Peter
On 13 April 2015 at 15:48, MDecau <
[hidden email]> wrote:
> Yes I shift it backward. Is that wrong? I just did it because it was done
> that way in the example. 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 to the first one?
>
> And I also tried to set includeReferenceDateCashFlows to true. It also
> worked (with bondDiscountingTermStructure reference date on 09-04-2015).
>
>
>
> --
> View this message in context:
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>
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