Bug in PayoffWrapper in ql/FiniteDifferences/stepcondition.hpp

[Klaus Spanderen]

Hi

IMO there is a potential bug in the FD module, namely the usage of
PayoffWrapper in CurveDependentStepCondition (or may be I don't get point;-).

Using the corresponding functionality the Payoff would be applied to the
intrinsic value of the derivative within the step condition when doing the
backwards propagation, which leads to wrong results.

The corresponding constructors aren't used in QL test-suite or in Examples
anymore. I therefore suggest to remove them from the QL
(americanconstion.hpp, shoutcondition.hpp, stepcondition.hpp).

Thoughts?

cheers
_______________________________________________________
Klaus Spanderen
Hubertustal 13f
48734 Reken (Germany)
Email: [hidden email]
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http://www.spanderen.de

[Luigi Ballabio]

On 04/11/2006 02:23:46 AM, Klaus Spanderen wrote:
> The corresponding constructors aren't used in QL test-suite or in
> Examples
> anymore. I therefore suggest to remove them from the QL
> (americanconstion.hpp, shoutcondition.hpp, stepcondition.hpp).

Klaus,
        as to the possible bug, I'll let Joseph step in. However, the  
above classes are still used in  
ql/PricingEngines/Vanilla/fdconditions.hpp.

Luigi



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