Re: Asset swap spread calculation

Posted by MDecau on Apr 13, 2015; 2:22pm
URL: http://quantlib.414.s1.nabble.com/Asset-swap-spread-calculation-tp16457p16475.html

Yes you are right, I mixed my term structures together, with small consequences because they are actually equals. I could actually use just one, both for ibor and for discounting.

Anyway, thank you so much for your help, it is very nice from you.

There is one last thing I don't understand : in the example provided with QLNet (here), they price a bond with a term structure reference date set to the settlement date, and not the trade date. They don't either include the reference date cash flows.
There is no effect on their program because they don't try to calculate any asset swap with it, but shouldn't they use the trade date for the reference date of their term structures? I think this example has an error there, right?