Re: today's payment (QL_TODAYS_PAYMENTS)

On Fri, Mar 6, 2009 at 4:17 PM, Luigi Ballabio <luigi.ballabio@...> wrote:
> If you have curves
> with settlement dates at T, T+1 and T+2,  a payment at T+1 will be
> included by some and excluded by some others

yes, but while I do expect the t+2 curve not to consider a cashflow at
t+1, I would expect both t and t+1 curves to take that flow into
account

> One way to do that is
> turning Event::hasOccurred a virtual method, defining an Upfront class
> derived from (Simple)CashFlow and therefore from Event, and overriding
> Upfront::hasOccurred(d) so that it always includes the payment on the
> given date.

mmm... I might be missing something but this sound very convoluted to me

In a private message Simon Ibbotson wrote to me:
> I would suggest that some sort of configuration is required for this...
>  but perhaps it is two separate configurations...
> Perhaps QL_TODAYS_PAYMENTS should apply solely to the
> Settings::evaluationDate(), not to the discounting "to" date of a
> termstructure?

I agree with his suggestion: your mileage can vary when it comes to a
flow being paid today, i.e. at Settings::evaluationDate(), because of
different accounting approaches, but it makes no sense at all (at
least to me ;-) to discard a flow just because it's on a termstructure
settlement date.

ciao -- Nando

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