Posted by
Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/VanillaSwap-evaluation-between-effective-and-termination-date-tp383p389.html
On Thu, 2011-06-30 at 10:28 +0200, Jicun Zhong wrote:
> No. It only caught my attention when I turned on capture all C++
> exceptions. My question is really about why the startDiscounts are
> implemented there and what is its usage. If it is designed in the way
> you described, then the effectiveDate parameter for the schedule
> constructor should be the original effective date of the vanilla IRS
> not something dependent on the evaluation date right?
Right, it's the original effective date. The discounts are used in
<ql/instruments/assetswap.cpp>.
Luigi
--
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-- Margaret Thatcher
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