Correct. The good news is that this was already fixed a short while
ago in the subversion repository.
Luigi
On Sun, Mar 24, 2013 at 8:59 PM, Peter Caspers <
[hidden email]> wrote:
> Hi,
>
> why is the atm level in line 78 and following computed with the
> forwarding and not the discount curve ?
>
> // using the forecasting curve
> swap.setPricingEngine(boost::shared_ptr<PricingEngine>(new
> DiscountingSwapEngine(swap.iborIndex()->forwardingTermStructure(),
> false)));
> Rate atmForward = swap.fairRate();
>
> I think in a usual curve setup it would be better to replace
> swap.iborIndex()->forwardingTermStructure() by discountCurve_, wouldn't it ?
>
> Thanks a lot
> Peter
>
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