CDS valuation for 2 historical dates (19 jun 2009 and 19 mar 2010)
Maintainers usually reply within 2 days
Nobody has claimed this yet.
Assessment
- Difficulty
- 4/5
- Estimated time
- 3-5 days
- Newbie friendliness
- 38/100
Research direction
Reproduce the error with the linked Python example, Python/examples/isda-engine.py, changing tradeDate to 19 June 2009 or 19 March 2010. Read the CDS accrual and contract start date handling reached by that example, then trace why those dates raise “contract cannot start before accrual.” Done means valuation runs for both dates; the issue names no test or implementation file.
Written by the indexing model from the issue text.
Description
I bumped into a problem with historical CDS valuation as of 19 jun 2009 and 19 mar 2010. The easiest way to replicate is to take example provided and change row:
tradeDate = ql.Date(21,5,2009)
to either of two dates (e.g. ql.Date(19,6,2009)). One should get:
"RuntimeError: contract cannot start before accrual"
On both of those dates it is a Friday which might give some hint. Have v 1.18
- Dominant language
- C++
- Stars
- 7.7k
- Forks
- 2.3k
- Avg merge
- 5d 16h
- Merged PRs (30d)
- 84
Getting set up
- No Dockerfile or Docker Compose file
- No pull request template
- Read the contributing guide
First steps
- Read the whole issue, then the project's contributing guide.
- Comment on the issue to say you are picking it up — it saves two people doing the same work.
- Fork the repository and make your change on a branch.
- Open a pull request that references the issue number.
More from lballabio/QuantLib
-
DateGeneration::Zero with endOfMonth = true crashes with 'year outside valid range'Possibly taken A pull request linked to this issue is open or already merged. Openhelp wanted
Difficulty 1/5 Under an hour Newbie friendliness 82/100
Maintainers usually reply within 2 days
-
LagrangeInterpolation returns NaN when the first knot is at x = 0.0Possibly taken @flodrick claimed this 3 days ago. Open
Difficulty 2/5 1-3 hours Newbie friendliness 85/100
lballabio/QuantLib#2987 · 2 comments ·
Maintainers usually reply within 2 days
-
Difficulty 5/5 Over a week Newbie friendliness 18/100
Maintainers usually reply within 2 days
-
Difficulty 5/5 Over a week Newbie friendliness 12/100
Maintainers usually reply within 2 days
-
help wanted
Difficulty 3/5 1-2 days Newbie friendliness 55/100
lballabio/QuantLib#2995 · 9 comments ·
Maintainers usually reply within 2 days
All issues in lballabio/QuantLib
Similar issues
-
bug libcudf
Difficulty 2/5 1-3 hours Newbie friendliness 78/100
Maintainers usually reply within 2 days
-
level/task module/cloud monitoring type/maintenance
Difficulty 2/5 1-3 hours Newbie friendliness 78/100
Maintainers usually reply within 1 day
-
Difficulty 2/5 1-3 hours Newbie friendliness 78/100
LadybirdBrowser/ladybird#13809 ·
Maintainers usually reply within 1 day
-
bug module:nodes tests
Difficulty 2/5 1-3 hours Newbie friendliness 78/100
rocketride-org/rocketride-server#3020 ·
Maintainers usually reply within 2 days
-
Difficulty 2/5 1-3 hours Newbie friendliness 72/100
Maintainers usually reply within 9 days