[Quantlib-dev] Irritated about dates in DiscountingSwapEngine

[Henner H. <hen...@tu...>]

Hello all,

first of i would like to thank the people responsible,
especially Luigi and Ferdinando, for the forum last
week in London. I enjoyed it.

Now my question about swap evaluation:

QuantLib version: 1.0.1

In "QuantLib::DiscountingSwapEngine" the settlement and evaluation dates  
are determined as follows:

------------------------------------------------------------------------------------
Date refDate = (*discountCurve_)->referenceDate();

  Date settlementDate = settlementDate_;
   if (settlementDate_==Date()) {
  settlementDate = refDate;
  } else {
  QL_REQUIRE(settlementDate>=refDate,
  "settlement date (" << settlementDate << ") before "
  "discount curve reference date (" << refDate << ")");
  }

  results_.valuationDate = npvDate_;
  if (npvDate_==Date()) {
  results_.valuationDate = refDate;
  } else {
  QL_REQUIRE(npvDate_>=refDate,
  "npv date (" << npvDate_ << ") before "
  "discount curve reference date (" << refDate << ")");
  }

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

Via SWIG i have one constructor available, which sets the discounting  
termstructure
only. So the dates npvDate_ and refDate_ are initially "Date()" at the  
beginning of
the above code. So they both default to "refDate" which is the reference  
date of the discounting curve.

I tried to get the full constructor into the SWIG code, but until now
i always had errors in the automatically created C++ wrapper code  
regarding the
definition of optional parameters.

Anyways, a little later  "CashFlows::npv" is called:

------------------------------------------------------------------------------------
CashFlows::npv(arguments_.legs[i],
  **discountCurve_,
  includeRefDateFlows,
  settlementDate,
  results_.valuationDate);
------------------------------------------------------------------------------------

The default settings for the dates there are as follows:

------------------------------------------------------------------------------------
if (settlementDate == Date())
  settlementDate = Settings::instance().evaluationDate();

  if (npvDate == Date())
  npvDate = settlementDate;

  Real totalNPV = 0.0;
  for (Size i=0; i<leg.size(); ++i) {
  if (!leg[i]->hasOccurred(settlementDate,
  includeSettlementDateFlows))
  totalNPV += leg[i]->amount() *
  discountCurve.discount(leg[i]->date());
  }

  return totalNPV/discountCurve.discount(npvDate);
------------------------------------------------------------------------------------

So every time i run a swap evaluation using the DiscountingSwapEngine,
the Settings::evaluationDate is totally ignored, since all dates are set  
to the
reference date of the discounting curve.
That leads to really unwanted behavior, if the the curve's reference date  
is earlier
than the Settings::evaluationDate and there are cashflows in between.
Now even the cashflows placed before Settings::evaluationDate a included  
into
the NPV.

So why is the default date in DiscountingSwapEngine
(*discountCurve_)->referenceDate();
and not
Settings::instance().evaluationDate(); ?

If this is not an error, i would appreciate any help getting the full  
constructor of
DiscountingSwapEngine (discountCurve, includeSettlementDateFlows,  
settlementDate, npvDate)
to work in SWIG or to evaluate a VanillaSwap without using  
DiscountingSwapEngine.

Best regards,
Henner Heck