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Use the C++ default for upfront settlement days in UpfrontCdsHelper - #952
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ryanduguid wants to merge 1 commit into
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ryanduguid wants to merge 1 commit into
ryanduguid wants to merge 1 commit into
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The C++ default changed from 0 to 3 days (the usual T+3 settlement of the upfront) but the wrappers kept passing 0, so helpers built with the default arguments bootstrapped a slightly different hazard rate.
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Thanks, @ryanduguid. May you check the CLAassistant comment above? |
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C++
UpfrontCdsHelperhas defaultedupfrontSettlementDaysto 3 since lballabio/QuantLib@b7fcb84d (GH-727, November 2020), but the 3 wrapper overloads still default to 0. Hazard rates bootstrapped with the default arguments therefore differ between C++ and the bindings (0.0246327 against 0.0246276 in the new test).This syncs the default and adds
Python/test/test_credit.py, which compares the default with an explicitupfrontSettlementDays=3. Results change for callers who rely on the default; passing0keeps the old behaviour.