Posted by
japari on
Oct 05, 2009; 9:31am
URL: http://quantlib.414.s1.nabble.com/Fwd-Re-CreditDefaultSwap-throws-RuntimeError-tp8028p8030.html
Quoting Luigi Ballabio <
[hidden email]>:
> Before the evaluation date or the default date? If it's the evaluation
> date, I wouldn't add a strict requirement as the engine worked for most
> dates. If it's the mid-period default date, we can think about it. Do
> we require it to be after the curve reference, or we adjust it a day or
> two so that it falls on the reference date?
>
Yep, lets make it the TS ref date. Moving this
Date effectiveStartDate =
(startDate <= today && today <= endDate) ? today : startDate;
into:
Date effectiveStartDate =
(startDate <= settlementDate && settlementDate <= endDate) ?
settlementDate : startDate;
works for both cds engines.
There will still be problems if:
probability_->referenceDate() > discountCurve_->referenceDate()
I havent tested it much though.
Regards
Pepe
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