[Quantlib-dev] settlement days

[Ferdinando A. <fer...@am...>]

Hi all

Luigi wrote:
>>I would also like to introduce another change: I would require the user 
>>to provide a discount grid starting with the first discount equal to 
>>1.00, so that we can assume that the first date is the settlement date. I 
>>think this would be safer.
>I had the same thought when I saw the class, but then I realized that 
>log-linear interpolation already guarantees that the discount at time 0.0 
>is always 1.0.
the main point here is to force the user to declare at which date he wants 
t=0.0, to avoid an implied t=0.0 that doesn't match the input tuple 
{todaysDate, calendar, settlementDays)

>>PS2 I would also remove settlementDays() from the TermStructure 
>>interface. It is not used anywhere in the library and it is misleading 
>>(e.g. it has no relation with the settlement days of the instruments used 
>>to bootstrap the curve).
>>Anyone against this change?
>Not against this change as such. However, either one passes today's date 
>and a number of settlement days or today's date and the settlement date. 
>No, wait a moment. Passing explicitly both today's date and the settlement 
>date could (emphasis on "could") remove the need for passing a calendar to 
>the curve.
>It could also clear up the code in ImpliedTermStructure. Hmm...
>I say go for it.
OK

ciao -- Nando