[Quantlib-dev] [ quantlib-Bugs-2883169 ] def events not triggered in fwd time

[SourceForge.net <no...@so...>]

Bugs item #2883169, was opened at 2009-10-21 13:41
Message generated for change (Tracker Item Submitted) made by japaricio
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2883169&group_id=12740

Please note that this message will contain a full copy of the comment thread,
including the initial issue submission, for this request,
not just the latest update.
Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Private: No
Submitted By: Aparicio-Navarro Jose (japaricio)
Assigned to: Nobody/Anonymous (nobody)
Summary: def events not triggered in fwd time

Initial Comment:
The current code fails to determine the time relevance of an event respect to a contract key when the check is on a forward date. 
To reproduce the bug test for defaults on an issuer on a forward date on an issuer with events in the future but prior to that test forward date.

The problem comes from the test being performed only for the system date in the wrong method. Since the time relevance of a credit event depends on the type of the event (there might be delays for applicability) this should be polymorphically implemented in a separate method to the credit event type match check. 

In the code fix there is a default behaviour in the base class which just tests for hasOccurred, derived classes could implement their own time relevance policies.

impacted files:
issuer.cpp
defaultevent.Xpp

No client code impact.

----------------------------------------------------------------------

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2883169&group_id=12740