Re: ql/experimental/inflation/yoycapfloortermpricesurface.hpp: bug in intersect() ? ([e-mail])

[Chris Kenyon-2]

Hi,

yes, this was a bug (thanks Raffaele). The fix is now in the 0.99 branch as:

if ( floorPrice_(t,fStrikes_.back()) > capPrice_(t,fStrikes_.back()) ) {

logic as before. 

Changing to fStrikes_.back() on both sides of the comparison ensures that the same strike is used (also as suggested), otherwise strange effects are possible.   

Best regards,
Chris

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