Expose an IBOR coupon's decision about whether it has fixed or not #1781
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| } else { | ||
| // fixingDate_ == refDate | ||
| if (QuantLib::Settings::instance().enforcesTodaysHistoricFixings()) { | ||
| return true; |
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This no longer holds once you add the refDate argument to the method call. enforcesTodaysHistoricFixings only comes into play when refDate is the evaluation date.
tomwhoiscontrary
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Have changed things around, so the test for enforcesTodaysHistoricFixings is only applied if the refDate is the evaluation date. |
ql/cashflows/iborcoupon.cpp
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| } | ||
| } | ||
| } else { | ||
| return false; |
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Here fixingDate == refDate but refDate != evaluationDate. We should still check if there is a past fixing loaded.
I think we need a series of tests for this.
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I'm not entirely sure of what we should do in this particular case, though.
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Should the tests go in QuantLib/test-suite/cashflows.cpp? Or a new QuantLib/test-suite/iborcoupon.cpp?
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Hi Tom, it seems we stalled on this. Do you have time to have another look? Thanks!
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I would definitely like too. My current QuantLib priority is solving the mystery of the performance regression i see, which blocks any further upgrade. Once that's done i would like to get back to this, so we can stop carrying this patch. But of course, there will be other work to do at some point.
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This PR was automatically marked as stale because it has been open 60 days with no activity. Remove stale label or comment, or this will be closed in two weeks. |
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This PR was automatically marked as stale because it has been open 60 days with no activity. Remove stale label or comment, or this will be closed in two weeks. |
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This PR was automatically marked as stale because it has been open 60 days with no activity. Remove stale label or comment, or this will be closed in two weeks. |
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This PR was automatically marked as stale because it has been open 60 days with no activity. Remove stale label or comment, or this will be closed in two weeks. |
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…t has fixed or not
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I started again from scratch, with tests this time. The implementation is similar but not identical. This version does not take a reference date (yet). I'm still thinking about that. |
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Apparently one build hasn't finished yet:
Which by now presumably means it's dead or stalled. |
It is sometimes useful to look at an IBOR coupon and know whether it is based on a historical fixing or a forecast. This change exposes that decision, and also - IMHO! - cleans up the code to get a fixing a little.
This change does mean that for fixings today, we now call Index::pastFixing twice. Personally i don't think that's a big deal (especially since #1731). Otherwise, i think the functional and non-functional behaviour is the same.
I think this method would probably make sense in FloatingRateCoupon, using the same logic. I could pull it up if you think that would be useful. However, in that case, we should think about what OvernightIndexedCoupon.