Re: [Quantlib-dev] Jamshidian engine with start delay

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

ok, I have extended the test suite here

https://github.com/pcaspers/quantlib/commit/4e5a10ef9c45e940965316a3c7c4d698b3906e1b

(the commits regarding the changes in the library were

https://github.com/pcaspers/quantlib/commit/e8b5912cac2e236fe59a885e8cd1e2ed9243cc47
https://github.com/pcaspers/quantlib/commit/019f37a498846d9a6e89a897300f126c01d6ef86
https://github.com/pcaspers/quantlib/commit/e16b4ea5ffbfe33bd6acd0ee6cb3ecd8a43f72a4

and the doc was here

http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2246054

)

please just tell me if I can do anything else.

regards
 Peter

Ferdinando Ametrano <na...@am...> writes:

> On Wed, May 15, 2013 at 9:03 PM, Peter Caspers <pca...@gm...> wrote:
>
>     We could maybe produce cached
>     values with the old engine for a test case with expiry = start date
>     before moving to the new engine.
>
>
> agreed, as far as I am concerned