Re: [Quantlib-dev] Irritated about dates in DiscountingSwapEngine

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

Hi Henner

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

because the discount curve reference date is tautologically the
reference date to which all cashflows should be discounted. The usual
usage if for discountCurve_)->referenceDate() >
Settings::instance().evaluationDate(), since you might want to
discount to today or some future date, not to a date into the past

> 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 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.

mmm... you surely have some good point for this usage, but I must
confess I don't see how the curve's reference date can be earlier than
the Settings::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.

this is a legitimate request. I'm pretty sure Luigi will oblige to it.

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

you're welcome

ciao -- Nando