Re: [Quantlib-users] Question on floating cashflows

[Ferdinando A. <na...@am...>]

Hi Jay

> #1 - Why do we adjust the dates twice, they are adjusted already in the Schedule
> constructor.
the dates calculated in the Schedule are the accrual dates. They are
adjusted with whatever convention is appropriate for the given deal.
Later on payment dates are needed and they are calculated from the
accrual date with the proper adjustment

> #2 - Market convention on a CDS (which isn't currently in QL) is apparently to have an
> unadjusted start date, there is currently not an option to do this in the current Schedule
> object.
What you write doesn't seem correct to me, but maybe I'm missing the
point. Please provide a concrete realistic example of a schedule which
cannot be calculated by the Schedule class and I'l look into it

> there is a comment
>
>        // the following is not always correct
>        Calendar calendar = schedule.calendar();
> #3 - What does the comment mean, and should a different calendar object be passed in to
>  the FixedLeg method?  When is using the calendar from Schedule incorrect?

the payment calendar might be different from the calendar used to
calculate the accrual dates in the Schedule class. In this case
FixedLeg would not be flexible enough

> #4 - I am building USD Libor swaps and am using the joint UK, US calendar as the calendar
> in the Schedule.  This appears to generate the proper sequence of reset/pay dates.
glad to know it.

> The Swap example in testsuite/swapvaluation.cpp only deals with a Euro swap which is a
> simpler case due to only needing the Target calendar.
fell free to provide some significant schedule to be reproduced  in
the test suite and I will add it

ciao -- Nando