[Quantlib-dev] CDS last period

[Peter C. <pca...@gm...>]

Hi,

the days in the last period of a CDS are usually counted as (d2-d1+1), 
i.e. including the first and the last date. I might miss something but 
this seems not possible in the current implementation of the credit 
default swap? This would be my plan to fix that:

1.    Implement a new day counter Actual360Inc counting (d2-d1+1) days
2.    Add a lastPeriodDC_ variable and withLastPeriodDayCounter() method 
to FixedRateLeg and extend the Leg() operator accordingly
3.    Add a parameter const DayCounter& lastPeriodDayCounter = 
DayCounter() to the CreditDefaultSwap constructors and invoke 
withLastPeriodDayCounter(lastPeriodDayCounter) in the code if this 
parameter is not empty

Maybe one could also default the dayCounter to Actual360() and the 
lastPeriodDayCounter to Actual360Inc() in the CreditDefaultSwap 
constructors already to match the usual use case?

Does that make sense?

Thank you
Peter