Posted by
Peter Caspers-4 on
Apr 13, 2015; 2:51pm
URL: http://quantlib.414.s1.nabble.com/Asset-swap-spread-calculation-tp16457p16476.html
no, not necessarily, an NPV as of +2 business days in the future does
make sense as well. Actually if you trade a bond or a swap you
_should_ calculate the amount that is settled two days later this way,
it is some kind of a forward-npv if you want. But you have to be
careful, what flows are included in your NPV then. In QuantLib you can
also use the npvDate (which can be set in the DiscountingSwapEngine
for example) to calculate a forward npv without moving the yield term
structure's reference date. Independent of that there is the
settlement date with which you can control what flows are considered
part of the NPV. If you don't specify the npvDate and the
settlementDate they are both set to the yield term structures
reference date.
Peter
On 13 April 2015 at 16:22, MDecau <
[hidden email]> wrote:
> 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
> <
https://github.com/ammachado/QLNet/blob/master/QLNet/Examples/Bonds/Bonds.cs>
> ), 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?
>
>
>
> --
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>
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