Re: [Quantlib-dev] Fwd: Re: [Quantlib-users] CreditDefaultSwap throws RuntimeError

[Jose Aparicio-N. <ja...@fr...>]

Quoting Luigi Ballabio <lui...@gm...>:

> On Mon, 2009-10-05 at 11:31 +0200, Jose Aparicio-Navarro wrote:
> > Quoting Luigi Ballabio <lui...@gm...>:
> > 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
>
Right, not to mix things. But theres a potential problem with

Probability P = probability_->defaultProbability(
                    effectiveStartDate, ///<<<<<
                    endDate);
if "effectiveStartDate" lies before the probability curve reference date (I am
thinking: startAccrual < refProb < refTS < endAccrual). Now negative times come
from the probability TS instead.
We can add :

defaultEffectiveStartPeriod =
    effectiveStartDate < refProb ? refProb : effectiveStartDate;

Regards
Pepe