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ExplainKey.FROM_FIXING_SERIES is only populated if the fixing date equals the valuation date #1380

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cjkent opened this issue Oct 10, 2016 · 1 comment
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ExplainKey.FROM_FIXING_SERIES is only populated if the fixing date equals the valuation date #1380

cjkent opened this issue Oct 10, 2016 · 1 comment
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Type:Bug
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v1.2

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@cjkent
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cjkent commented Oct 10, 2016 •
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This seems surprising. It would seem reasonable to populate it if the fixing date is on or before the valuation date and the fixing series contains the fixing date. The Javadoc says

"The flag to indicate that the that the observed value is from a fixing time-series."

The valuation date isn't mentioned anywhere and the user of this field needs to know how it's populated.
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The implementation in IborIndexRates is wrong

jodastephen added a commit that referenced this issue Oct 10, 2016
@jodastephen
Explain key for fixing series incorrect
4bcb01d 
Needs to return true for dates before the valuation date
Fixes #1380
@jodastephen jodastephen added this to the v1.2 milestone Oct 10, 2016
@jodastephen jodastephen self-assigned this Oct 10, 2016
@jodastephen jodastephen mentioned this issue Oct 10, 2016
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cjkent pushed a commit that referenced this issue Oct 10, 2016
@jodastephen @cjkent
Explain key for fixing series incorrect (#1381)
2ff8173 
Needs to return true for dates before the valuation date
Fixes #1380
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