Re: shortSwapIndexBase in SwaptionVolCube2 (AUD as example)

Posted by Ferdinando M. Ametrano on
URL: http://quantlib.414.s1.nabble.com/reference-of-boost-shared-ptr-instead-of-Handle-tp7623p7641.html

Luigi, Yan

nice clean re-factoring of interest rate indexes. While you're there... a couple of issues.

1) The termstructure passed to SwapIndexes is the forwarding termstructure of the appropriate underlying iborIndex, but it's also used for discounting. The current market practice is to have a different discount curve: can we add this additional parameter?

2) EuriborSwap longer than 1Y use Euribor6M, while the 1Y swap uses Euribor3M: this imply that two different forwarding curves must be used. This breaks the single EuriborSwap factory approach, at least in SwaptionVolCube as we would need to use two factories.
[by the way, please revert SwaptionVolCube to two EuriborSwap indexes/factories: as of Rev16469 it prevents me to use the correct different forwarding curves]

3) What about something along the line of decoupling the factory:

EuriborSwapFactory(const Handle<YieldTermStructure>& fdw6M,
                   const Handle<YieldTermStructure>& fdw3M,
                   const Handle<YieldTermStructure>& discount);

from the base class

EuriborSwap(const Period& tenor,
            const Handle<YieldTermStructure>& fdw,
            const Handle<YieldTermStructure>& discount);

ciao -- Nando

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