Julien Musset comments

Results 11 comments of


                                            Julien Musset

Error running new example 43

Still got this error (build it from master on 22 Nov 2023) 1) Run ORE for a single Bond Loading inputs OK Requested analytics CASHFLOW,EXPOSURE,NPV,XVA Pricing: Build Market OK Pricing:...

Error running new example 43

What about mentioning explicitly the dependency on Eigen3 for all build environment in the doc? (not just windows)

Scripted trade does not generate past cashflows when value date is strictly after the last settlement date

Both flags are included. Provided an example based on Example 52 from the release, using 1.8.12.1 version Input and Output files are included. Thanks for looking into it. [Archive.zip](https://github.com/user-attachments/files/16136046/Archive.zip)

Scripted trade does not generate past cashflows when value date is strictly after the last settlement date

Thanks for the change. Some brainstorming: - the current behavior is inconsistent as Autocallable are generating Cashflow information between an early knock-out and the last potential settlement date. Maybe the...

Scripted trade does not generate past cashflows when value date is strictly after the last settlement date

. Autocallable: I was referring to any Scripted trade with a Knock-out barrier. From a financial point of view, the expiry date is the Knock-Out date and not the the...

Scripted trade does not generate past cashflows when value date is strictly after the last settlement date

Agree. To be precise: Assuming an autocallable with 3 autocall observation dates: 1 Jan 2023, 1 Feb 2022, 1 March 2022 If the autocall happened on 1 Feb 2022 (and...

Scripted trade does not generate past cashflows when value date is strictly after the last settlement date

Hi, Any update on this request?

Scripted trade does not generate past cashflows when value date is strictly after the last settlement date

Hi, any chance for this ticket to be pushed to master? Cheers

Scripted trade does not generate past cashflows when value date is strictly after the last settlement date

@pcaspers it looks like the fix has been released into master. Can you confirm?

Scripted trade does not generate past cashflows when value date is strictly after the last settlement date

All my tests were successful. Thanks for the change.