Posted by
Yan Kuang on
URL: http://quantlib.414.s1.nabble.com/reference-of-boost-shared-ptr-instead-of-Handle-tp7623p7655.html
Luigi Ballabio <[hidden email]> wrote
on 12/09/2009 02:13:47 AM:
> Hi Yan,
>
> On Fri, 2009-09-11 at 14:04 +1000, Yan Kuang wrote:
> > I am build an AUD depo-future-swap curve. I have defined
nessary
> > interest rate index such as BBSW etc.
>
> Would you like to share them? If you're in a position to contribute
> them, I'll add them to a future release.
>
Surely, but I need to finish my current work first.
> > I implemeted AUD Bank Bill Future last trading date function:
> >
> > However, the [FuturesRateHelper] constructor required the future's
> > last trading date as an IMM date, I have commented the
> > QL_REQUIRE.
>
> I see. Yes, that might have been too specific.
>
>
> > Also the the earliestDate shoule be:
> >
> > earliestDate_ = cal.advance(immDate, i->fixingDays(), Days);
> >
> > Instead of
> > //earliestDate_ = immDate;
>
> That depends on how one defines the relevant date, doesn't it?
> You're currently passing the fixing date for the rate, meaning that
the
> start of your accrual period is 2 days later. The convention currently
> implemented seems to be that the IMM date is the value date, and the
> fixing date is 2 days before that (Nando, you probably wrote the code:
> is this correct?) However, the two conventions could be made
to
> agree---for instance, if your function or another similar one returned
> the value date of the last trading date.
>
Agree, I had another look at IMM date in Quantlib, it's 3dr Wenesday, which
is the underlying start date. Future last trading
date or underlying start date
can infer each other, so both way are ok.
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