Date problem in swaptionhelper.cpp
Posted by Perissin Francesco on
URL: http://quantlib.414.s1.nabble.com/Date-problem-in-swaptionhelper-cpp-tp2210.html
Hi,
I see a problem in the current implementation of the class SwaptionHelper:
when the value date is close to the end of month, the class gives an error
like: "Start date is Holiday and end of month" on some market swaptions.
This is caused by the definition of start date in line 59 in
ql/ShortRateModels/CalibrationHelpers/swaptionhelper.cpp, which does not
adjust for the holidays.
At the moment in Ql 0.3.0 and also in CVS the line is:
Date startDate = termStructure->settlementDate(). plus(maturity.length(),
maturity.units());
The line should be changed in something like
Date startDate =
termStructure->calendar().advance(termStructure->settlementDate(),
maturity.length(), maturity.units());
which works fine. I am not able to commit the change.
Ciao
Francesco Perissin
Derivatives Team
Banca del Gottardo
Via R. Simen 14
6900 Lugano (Switzerland)
Direct line: +41 91 808 37 30
Fax: +41 91 808 24 43
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