Posted by
Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/VanillaSwap-evaluation-between-effective-and-termination-date-tp383p386.html
On Thu, 2011-06-30 at 11:32 +0200, Jicun Zhong wrote:
> Hi Luigi,
> Attached another modified swapvaluation.cpp where if the effective
> date of the schedules are set with the original IRS effective date
> will cause an missing past fixing exception and fail the calculation.
> In such a case, what is the general procedure to provide fixings
> before call NPV? Obviously this exception depends on the evaluation
> date. If one passes as effective date of the schedule the immediate
> cash flow date that is later than the settlement date, then this will
> not happen. So some explanation is needed here.
Coupons whose fixing dates are after the evaluation date are forecast on
the term structure passed to the index; for the others, you have to
provide the relevant fixing (since they obviously can't be forecast.)
You can call Index::addFixing on the index instance to store the past
fixings (or on another instance; fixings are shared, so if you call
addFixing, e.g., on a Euribor6M instance, all other instances will see
them.)
Luigi
--
Better to have an approximate answer to the right question than a
precise answer to the wrong question.
-- John Tukey as quoted by John Chambers
------------------------------------------------------------------------------
All of the data generated in your IT infrastructure is seriously valuable.
Why? It contains a definitive record of application performance, security
threats, fraudulent activity, and more. Splunk takes this data and makes
sense of it. IT sense. And common sense.
http://p.sf.net/sfu/splunk-d2d-c2_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users