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in Scripted Trade, add the fixing date in the cashfow information

Open quantthingy opened this issue 1 year ago • 1 comments

For scripted trades, it looks like the LOGPAY function does not report the fixing date is the cashflow information From my testing in in c++, the field cf.fixingDate is empty, cf been a CashFlowResults object

Issue in LOGPAY(X, d, p, ccy), the date d is not into the past and future cashflow object

Suggestion cf.fixingDate to d

quantthingy avatar Jul 12 '24 02:07 quantthingy

That's a good idea, it seems quite natural to populate the fixing date with the observation date of PAY(). We'll add this. Thanks!

pcaspers avatar Jul 12 '24 17:07 pcaspers