Re: Libor Forward Process

Posted by on
URL: http://quantlib.414.s1.nabble.com/Libor-Forward-Process-tp4723p4724.html

Hi Klaus,
I have some comments about your reply to Fabio.


The reference date of the term structure is defined as the date at which discount = 1 (see file termstructure.hpp), and it seems natural to me that it should be today, unless we want to make some kind of "forward pricing".
And the implementation in lfmprocess.cpp is slightly different from the one in the blackcapfloorengine (actually in the capfloor.cpp) file.
In capfloor.cpp, the fixingTimes are computed using the yearFraction method going from today to the fixingDate, and today is found as
Date today = Settings::instance().evaluationDate();
So, "today" is independent of the choice of the reference date, while this is not the case in the implementation of the libor forward process.
Anyway I'm a little bit puzzled about the definition of referencedate of the term structure and I'll probably send a mail just to discuss this topic.

Second, I'm not sure I've understood why your choice of the daycounter should make easier the Monte Carlo simulation, but anyway the index daycounter is used to determine the initial values of the forward rates just in the sense that they are used to compute the year fraction between a start and an end date, but it is not used to compute neither fixing nor start nor end times. According to me, in order to compute such times, an independet daycounter should be used, for example the TermStructure::dayCounter(), as (again) it is actually done in capfloor.cpp for example.

What do you think?

Thanks for your help!
Regards,
Marco





---------- Initial Header -----------