Re: [Quantlib-users] Python Swaps - excluding cashflows on settlement date

[Ben W. <ben...@ma...>]

Thanks Luigi,

 

 

From: Luigi Ballabio <lui...@gm...> 
Sent: Monday, 24 January 2022 8:52 PM
To: Ben Watson <ben...@ma...>
Cc: QuantLib users <qua...@li...>
Subject: Re: [Quantlib-users] Python Swaps - excluding cashflows on settlement date

 

Hello Ben,

    the flag is exported, see <https://github.com/lballabio/QuantLib-SWIG/blob/master/SWIG/swap.i#L278>.

 

Writing `ql.DiscountingSwapEngine(yts, includeSettlementDateFlows)` should work.

 

`ql.Settings.instance().includeTodaysCashFlows = False` should also work if you want to set it once and for all.

 

Luigi

 

 

On Mon, Jan 24, 2022 at 10:42 AM Ben Watson <ben...@ma... <mailto:ben...@ma...> > wrote:

Hi,

 

I know that a few pricing engines can take includeSettlementDateFlows as a Boolean flag. I can seem to find an example of calling this with swap discount pricing engine. 
 
I want to exclude settlement date cashflows. Without this flag, I would need to hack the code somewhat to generate cashflows from settlementdate +1. 
 
Does ql.DiscountingSwapEngine(yts) have some undocumented flags, or ql.DiscountCurve some additional attributes that can be set to ignore settlement date flows?
 
Regards
 
Ben

 

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