japari/quantlib — pull request #11 by pcaspers (2014-04-05 10:25:16+00:00)
Title: handle maturity date

Hi Pepe,

hope things are going well on your side. I am still not matching the Mx or OpenGamma numbers. However I think concerning the maturity date we should just stick with the quantlib convention ( discount and probabilities are as of 00:01 of the given date ) and therefore read the proabability for the last included day from the termstructures as of the next date (both for probability and rates). I tried to amend the code in this direction.

At least this is a clear strategy, isn't it. Hope to dig deeper into the numbers itself soon again.

Anyway have a nice weekend !
best regards
Peter