Re: [Quantlib-dev] SwapIndex Calendar issue

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

Hi Luca,
	thanks for the heads-up.  I don't have a fix yet, but I'll let you know
when it's done.

Luigi


On Sat, 2011-06-18 at 09:44 -0400, Luca Billi wrote:
> I just found that when building a term structure from a USD Libor Swap
> Index and then re-evaluating the same Swap Index, the original quote
> is not always recovered.
> 
> This happens only on particular evaluation dates and it seems to be
> caused by a misalignment of the fixing calendars in the underlying
> swaps generated by the classes "SwapIndex" and "SwapRateHelper".
> 
> More precisely, the underlying swap in "SwapRateHelper" inherits the
> fixing calendar from the underlying "IborIndex" not from the
> "SwapIndex". In the case of USD, "IborIndex" and "SwapIndex" calendars
> are different.
> 
> Here's a code sample that illustrates the issue.
> Changing eDate to a different value makes the issue disappear.
> 
> 
> Date eDate(29, Dec, 2011);
> 
> Settings::instance().evaluationDate() = eDate;
> 
> double swaprate = 0.0500;
> Period term = 2*Years;
> 
> boost::shared_ptr<RateHelper> s2y(new SwapRateHelper(swaprate,
> 
> boost::shared_ptr<SwapIndex>(
>                                                            new
> UsdLiborSwapIsdaFixAm(term))));
> 
> std::vector<boost::shared_ptr<RateHelper> > instruments;
> instruments.push_back(s2y);
> 
> boost::shared_ptr<YieldTermStructure> curve(
>             new PiecewiseYieldCurve<Discount,LogLinear>(
>                                     0,
>                                     NullCalendar(),
>                                     instruments,
>                                     ActualActual(ActualActual::ISDA)));
> 
> std::cout << UsdLiborSwapIsdaFixAm(term,
> Handle<YieldTermStructure>(curve)).fixing(eDate) << std::endl;
> 
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