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eddelbuettel / rquantlib

R interface to the QuantLib library
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More flexible swap construction #51

Closed thrasibule closed 8 years ago

thrasibule commented 8 years ago

This PR is short and self-contained, I hope it will have an easier time. Right now, by forcing to use euribor in the construction of the swap instruments, the curve will fail to build for certain dates if I use a US calendar (for instance may 1st is a holiday according to TARGET, but not in the US). With this PR, the floating index will use the calendar from the RQLContext singleton.

If you check the quantlib code here: https://github.com/lballabio/QuantLib/blob/master/ql/indexes/ibor/euribor.cpp#L59, by using a TARGET calendar and fixingDays=2 (which is the default), this is exactly equivalent to using an Euribor index.

tleitch commented 8 years ago

You might want to do an example that uses the new flexibility. Also, I think much of the examples and tests that exist were valued with a flat yield curve only. The examples for the swaption code I wrote is the fist to use an actual term structure, I believe. So be careful when you write new functionality for term structure elements as you could break something in terms of valuation and nothing would get flagged.

This is where Dirk reminds me we need unit tests

eddelbuettel commented 8 years ago

Yes we really need tests. Which is not hard as they (mostly) exists in QL.

eddelbuettel commented 8 years ago

And #33 is the issue for it.

eddelbuettel commented 8 years ago

Closing this now for lack of tests and context. #53 was a better model for getting changes integrated.

eddelbuettel commented 8 years ago

Actually belatedly closing.