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

[Luigi B. <lui...@gm...>]

On Tue, 2011-01-25 at 13:05 +0100, Ferdinando Ametrano wrote:
> > 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.

The patch is in the mail.  I mean, it's attached.

Also, I confess I didn't fully understand your setup; but if you want
the reference date of the curve to follow the evaluation date, you can
instantiate the curve by passing a number of settlement days (possibly
0) and a calendar (possibly NullCalendar) instead of a fixed settlement
date. If you do so, the reference date of the curve will change when the
evaluation date does.

Luigi


-- 

The first rule of intelligent tinkering is to save all the parts. 
-- Paul Erlich