[Quantlib-dev] isExpired

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

Hi all

in revision 16174
(http://quantlib.svn.sourceforge.net/quantlib/?rev=16174&view=rev)
I've revisited Instrument::isExpired implementation, which is now
often using Event::hasOccurredFunction

I noticed that in many cases the Instrument is considered to be
expired if its last payment date is earlier than
Settings::instance().evaluationDate().

Unless I miss something this approach is wrong. isExired if often used
in order to bypass NPV evaluation setting it to zero, and as such it
should rely on a PricingEngine and/or TermStructure::referenceDate()
to verify expiration

E.g. Bond::isExpired check the settlementDate() vs
Settings::instance().evaluationDate(). This imply that if a bond trade
with t+3 settlement it could be expired and still have cashflows to be
discounted for an YieldTermStructure with t=0 as referenceDate

If I'm right removing the default referenceDate from
Event::hasOccurredFunction would show at compilation time most of the
places where expiration is deduced from
Settings::instance().evaluationDate()

Any feedback?

ciao -- Nando