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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cjkent commented Oct 10, 2016

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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jodastephen Oct 10, 2016

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The implementation in IborIndexRates is wrong

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jodastephen commented Oct 10, 2016

The implementation in IborIndexRates is wrong

jodastephen added a commit that referenced this issue Oct 10, 2016

Explain key for fixing series incorrect
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

@cjkent cjkent closed this in #1381 Oct 10, 2016

cjkent added a commit that referenced this issue Oct 10, 2016

Explain key for fixing series incorrect (#1381)
Needs to return true for dates before the valuation date
Fixes #1380

@cjkent cjkent removed the Status:InReview label Oct 10, 2016

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