today's payment (QL_TODAYS_PAYMENTS)

Hi all

QL_TODAYS_PAYMENTS rules the inclusion of payments occurring "today"
in the NPV of an instrument. Today is not always the calendar's today,
and is often t+2 or t+3, according to which date your discount curve
has as origin (i.e. to which date it attaches the 1.0 discount factor)

By default PAYMENTS is undefined, so that payments occurring "today"
are not included in the NPV.

This default has a bad impact whenever you want to net the NPV by
introducing an upfront: e.g. in asset swaps the equilibrium bond price
would not zero the NPV if the yield curve you use has discount factor
= 1 at the bond settlement date (as it is natural to have).

Besides all the software systems I currently use would include such a
flow in the NPV: any flow which can be discounted by your curve (even
if with discount = 1.0) is included in the NPV

I propose to reverse the default behaviour, defining
QL_TODAYS_PAYMENTS, or even better not defining an alternative
QL_EXCLUDE_TODAYS_PAYMENTS.

Actually I would go even further and get rid of QL_TODAYS_PAYMENTS /
QL_EXCLUDE_TODAYS_PAYMENTS altogheter, assuming the rule "any flow
which can be discounted by your curve is included in the NPV" is good
enough.
The rationale is to get rid of the ambiguity the current setting
produces when associated with multiple settlement_date/curves; it's ok
to have different NPVs on curve with different settlement dates and
one knows how to adjust for it, but this is much more confusing if
there is a flow on the latest settlement date, which would be excluded
by one curve and included by the others with earlier settlement dates

any toughts?

ciao -- Nando

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