Posted by
Luigi Ballabio on
Oct 05, 2009; 9:48am
URL: http://quantlib.414.s1.nabble.com/Fwd-Re-CreditDefaultSwap-throws-RuntimeError-tp8028p8031.html
On Mon, 2009-10-05 at 11:31 +0200, Jose Aparicio-Navarro wrote:
> Quoting Luigi Ballabio <
[hidden email]>:
> 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.
Except I'd leave the start date alone and correct the default date
instead, if possible. No?
Luigi
--
There is no opinion so absurd that some philosopher will not
express it.
-- Marcus Tullius Cicero, "Ad familiares"
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