Re: ASX futures tests

Posted by Ferdinando M. Ametrano-2 on Jun 13, 2015; 9:24pm
URL: http://quantlib.414.s1.nabble.com/ASX-futures-tests-tp16659p16664.html

Hi Peter

I will look into this asap

thx

On Fri, Jun 12, 2015 at 3:56 PM, Peter Caspers <[hidden email]> wrote:

Hello Ferdinando,

the PiecewiseYieldCurve tests from the current master fail on system
date 11-Jun-2015. The guilty code seems to be

L476 asxStart is 12-Jun-2015 in some cases ...
L485 ... then asxFut.forwardRate() will ask for the Euribor 3M fixing
as of 10-Jun-2015

which is not set. Should we just exclude the cases where the fixing
date is before the evaluation date ?

Thanks
Peter

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