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Re: [Quantlib-dev] IRS conventions
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From: Bianchetti M. <mar...@ba...> - 2007-11-15 14:33:07
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People,=20 just to cross-check, but standard (eur) interest rate swaps quoted in the market do have a fixed leg with ADJUSTED MODIFIED FOLLOWING convention for accrual dates schedule, right ? Many thanks Marco > -----Original Message----- > From: qua...@li...=20 > [mailto:qua...@li...] On Behalf=20 > Of na...@us... > Sent: 15 November 2007 12:24 > To: qua...@li... > Subject: [QuantLib-svn] SF.net SVN: quantlib: [13383] trunk/QuantLib >=20 >=20 > Revision: 13383 > =20 > http://quantlib.svn.sourceforge.net/quantlib/?rev=3D13383&view=3Drev > Author: nando > Date: 2007-11-15 03:24:24 -0800 (Thu, 15 Nov 2007) >=20 > Log Message: > ----------- > fixed bug: > - swap index business day convention for the fixed leg was=20 > ModifiedFollowing instead of Unadjusted. > - MakeVanillaSwap default fixed accordingly >=20 > Modified Paths: > -------------- > trunk/QuantLib/QuantLib_vc8.vcproj > trunk/QuantLib/ql/indexes/swap/euriborswapfixb.cpp > trunk/QuantLib/ql/indexes/swap/euriborswapfixifr.cpp > trunk/QuantLib/ql/indexes/swap/eurliborswapfixa.cpp > trunk/QuantLib/ql/indexes/swap/eurliborswapfixb.cpp > trunk/QuantLib/ql/indexes/swap/eurliborswapfixifr.cpp > trunk/QuantLib/ql/instruments/makevanillaswap.cpp >=20 > Modified: trunk/QuantLib/QuantLib_vc8.vcproj > = =3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D= =3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D= =3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D > --- trunk/QuantLib/QuantLib_vc8.vcproj 2007-11-15=20 > 11:12:16 UTC (rev 13382) > +++ trunk/QuantLib/QuantLib_vc8.vcproj 2007-11-15=20 > 11:24:24 UTC (rev 13383) > @@ -939,6 +939,10 @@ > Name=3D"ibor" > > > <File > + =09 > RelativePath=3D".\ql\indexes\ibor\all.hpp" > + > > + </File> > + <File > =09 > RelativePath=3D".\ql\indexes\ibor\audlibor.hpp" > > > </File> > @@ -1019,6 +1023,10 @@ > Name=3D"swap" > > > <File > + =09 > RelativePath=3D".\ql\indexes\swap\all.hpp" > + > > + </File> > + <File > =09 > RelativePath=3D".\ql\indexes\swap\euriborswapfixa.cpp" > > > </File> >=20 > Modified: trunk/QuantLib/ql/indexes/swap/euriborswapfixb.cpp > = =3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D= =3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D= =3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D > --- trunk/QuantLib/ql/indexes/swap/euriborswapfixb.cpp=09 > 2007-11-15 11:12:16 UTC (rev 13382) > +++ trunk/QuantLib/ql/indexes/swap/euriborswapfixb.cpp=09 > 2007-11-15 11:24:24 UTC (rev 13383) > @@ -34,7 +34,7 @@ > EURCurrency(), > TARGET(), > 1*Years, // fixedLegTenor > - ModifiedFollowing, // fixedLegConvention > + Unadjusted, // fixedLegConvention > Thirty360(Thirty360::BondBasis), //=20 > fixedLegDaycounter > tenor > 1*Years ? > boost::shared_ptr<IborIndex>(new Euribor6M(h)) : >=20 > Modified: trunk/QuantLib/ql/indexes/swap/euriborswapfixifr.cpp > = =3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D= =3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D= =3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D > --- trunk/QuantLib/ql/indexes/swap/euriborswapfixifr.cpp=09 > 2007-11-15 11:12:16 UTC (rev 13382) > +++ trunk/QuantLib/ql/indexes/swap/euriborswapfixifr.cpp=09 > 2007-11-15 11:24:24 UTC (rev 13383) > @@ -34,7 +34,7 @@ > EURCurrency(), > TARGET(), > 1*Years, // fixedLegTenor > - ModifiedFollowing, // fixedLegConvention > + Unadjusted, // fixedLegConvention > Thirty360(Thirty360::BondBasis), //=20 > fixedLegDaycounter > tenor > 1*Years ? > boost::shared_ptr<IborIndex>(new Euribor6M(h)) : >=20 > Modified: trunk/QuantLib/ql/indexes/swap/eurliborswapfixa.cpp > = =3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D= =3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D= =3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D > --- trunk/QuantLib/ql/indexes/swap/eurliborswapfixa.cpp=09 > 2007-11-15 11:12:16 UTC (rev 13382) > +++ trunk/QuantLib/ql/indexes/swap/eurliborswapfixa.cpp=09 > 2007-11-15 11:24:24 UTC (rev 13383) > @@ -34,7 +34,7 @@ > EURCurrency(), > TARGET(), > 1*Years, // fixedLegTenor > - ModifiedFollowing, // fixedLegConvention > + Unadjusted, // fixedLegConvention > Thirty360(Thirty360::BondBasis), //=20 > fixedLegDaycounter > tenor > 1*Years ? > boost::shared_ptr<IborIndex>(new EURLibor6M(h)) : >=20 > Modified: trunk/QuantLib/ql/indexes/swap/eurliborswapfixb.cpp > = =3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D= =3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D= =3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D > --- trunk/QuantLib/ql/indexes/swap/eurliborswapfixb.cpp=09 > 2007-11-15 11:12:16 UTC (rev 13382) > +++ trunk/QuantLib/ql/indexes/swap/eurliborswapfixb.cpp=09 > 2007-11-15 11:24:24 UTC (rev 13383) > @@ -34,7 +34,7 @@ > EURCurrency(), > TARGET(), > 1*Years, // fixedLegTenor > - ModifiedFollowing, // fixedLegConvention > + Unadjusted, // fixedLegConvention > Thirty360(Thirty360::BondBasis), //=20 > fixedLegDaycounter > tenor > 1*Years ? > boost::shared_ptr<IborIndex>(new EURLibor6M(h)) : >=20 > Modified: trunk/QuantLib/ql/indexes/swap/eurliborswapfixifr.cpp > = =3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D= =3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D= =3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D > --- trunk/QuantLib/ql/indexes/swap/eurliborswapfixifr.cpp=09 > 2007-11-15 11:12:16 UTC (rev 13382) > +++ trunk/QuantLib/ql/indexes/swap/eurliborswapfixifr.cpp=09 > 2007-11-15 11:24:24 UTC (rev 13383) > @@ -34,7 +34,7 @@ > EURCurrency(), > TARGET(), > 1*Years, // fixedLegTenor > - ModifiedFollowing, // fixedLegConvention > + Unadjusted, // fixedLegConvention > Thirty360(Thirty360::BondBasis), //=20 > fixedLegDaycounter > tenor > 1*Years ? > boost::shared_ptr<IborIndex>(new EURLibor6M(h)) : >=20 > Modified: trunk/QuantLib/ql/instruments/makevanillaswap.cpp > = =3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D= =3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D= =3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D > --- trunk/QuantLib/ql/instruments/makevanillaswap.cpp=09 > 2007-11-15 11:12:16 UTC (rev 13382) > +++ trunk/QuantLib/ql/instruments/makevanillaswap.cpp=09 > 2007-11-15 11:24:24 UTC (rev 13383) > @@ -40,8 +40,8 @@ > discountingTermStructure_(index->termStructure()), > type_(VanillaSwap::Payer), nominal_(1.0), > fixedTenor_(Period(1, Years)), floatTenor_(index->tenor()), > - fixedConvention_(ModifiedFollowing), > - fixedTerminationDateConvention_(ModifiedFollowing), > + fixedConvention_(Unadjusted), > + fixedTerminationDateConvention_(Unadjusted), > floatConvention_(ModifiedFollowing), > floatTerminationDateConvention_(ModifiedFollowing), > fixedBackward_(true), floatBackward_(true), >=20 >=20 > This was sent by the SourceForge.net collaborative=20 > development platform, the world's largest Open Source=20 > development site. >=20 > -------------------------------------------------------------- > ----------- > This SF.net email is sponsored by: Splunk Inc. > Still grepping through log files to find problems? Stop. > Now Search log events and configuration files using AJAX and=20 > a browser. > Download your FREE copy of Splunk now >> http://get.splunk.com/ > _______________________________________________ > QuantLib-cvs mailing list > Qua...@li... > https://lists.sourceforge.net/lists/listinfo/quantlib-cvs >=20 |
