Re: [Quantlib-dev] Query on accrualPeriod used in parcoupon amount()

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

Hi,

On 2004.03.08 15:00, Andre Louw wrote:
> I have a query on the way parcoupon calculates it's cashflow.
[ snipped ]
>         3) These discount factors are then applied over the original
> unadjusted period (accrualEndDate-accrualStartDate)
> 
> Point 3 raises the concern that, although the discount factor dates
> have been adjusted, the period over which they are applied has not in  
> turn been adjusted to reflect this, does this make sense?
> 
> Am I missing some market convention, or what?

No, just the comment above the ParCoupon definition :)

/*! \warning This class does not perform any date adjustment,
      i.e., the start and end date passed upon construction
      should be already rolled to a business day.
*/

It was a while ago, but I think we decided for delegating the  
adjustment because a) coupon dates come most often from Schedule  
instances, and the latter take care of the adjustment already; and b)  
the coupon would otherwise need a Calendar instance (since in principle  
the calendar for date adjustment could be different than the calendar  
of the index) and we tried to keep it slim instead.

Later,
	Luigi