Re: Libor Forward Process

Posted by Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/Libor-Forward-Process-tp4723p4726.html

On 04/24/2006 08:47:49 AM, [hidden email] wrote:
> 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".

Today is natural enough, but it is not the only natural choice. On a  
desk I've been working with, all instruments were traded with two  
settlement days; therefore, it was natural to have the reference date  
of the curve at two business days from today.

Later,
        Luigi


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