Re: Asset swap spread calculation

Posted by MDecau on Apr 13, 2015; 3:39pm
URL: http://quantlib.414.s1.nabble.com/Asset-swap-spread-calculation-tp16457p16477.html

Ok, thank you for that clarification.

So, maybe it would be a better way to let my term structures reference date to the settlement date (09-04-2015) and to use this DiscountingSwapEngine constructor (where I set includeSettlementDate to true):

IPricingEngine assetSwapEngine = new DiscountingSwapEngine( Program.currentYieldCurves.discountingTermStructure, true);