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a bug in Bonds.cpp

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Dagur Gunnarsson-2

a bug in Bonds.cpp

hello,

Is it ok, to post bugs in this mailgroup? I suspect that there is a bug in the following code.

00247

Real Bond::accruedAmount(Date settlement) const {
Real currentNotional = notional(settlementDate());
if (currentNotional == 0.0)
return 0.0;

return BondFunctions::accruedAmount(*this, settlement);
}

the code is taken from http://quantlib.sourcearchive.com/documentation/1.1-1/bond_8cpp_source.html

notional(settlementDate()) should be notional(settlement) instead - my unit tests stopped working for a bond that had a maturity the 8th of February.

regards

Dagur G

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Luigi Ballabio

Re: a bug in Bonds.cpp

Yes, it's a bug. I've fixed it on the 1.2 branch now.

Thanks for the heads-up.

Luigi

On Mon, Feb 13, 2012 at 3:15 PM, Dagur Gunnarsson <[hidden email]> wrote:

> hello,
>
> Is it ok, to post bugs in this mailgroup? I suspect that there is a bug in
> the following code.
>
> 00247
> Real Bond::accruedAmount(Date settlement) const {
> Real currentNotional = notional(settlementDate());
> if (currentNotional == 0.0)
> return 0.0;
>
> return BondFunctions::accruedAmount(*this, settlement);
> }
>
> the code is taken from
> http://quantlib.sourcearchive.com/documentation/1.1-1/bond_8cpp_source.html
>
> notional(settlementDate()) should be notional(settlement) instead - my unit
> tests stopped working for a bond that had a maturity the 8th of February.
>
> regards
> Dagur G
>
> ------------------------------------------------------------------------------
> Try before you buy = See our experts in action!
> The most comprehensive online learning library for Microsoft developers
> is just $99.99! Visual Studio, SharePoint, SQL - plus HTML5, CSS3, MVC3,
> Metro Style Apps, more. Free future releases when you subscribe now!
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Dagur Gunnarsson-2

Re: a bug in Bonds.cpp

Hello,

I suspect that this bug is also in

00232     Rate Bond::yield(Real cleanPrice,
                     const DayCounter& dc,
                     Compounding comp,
                     Frequency freq,
                     Date settlement,
                     Real accuracy,
                     Size maxEvaluations) const {
        Real currentNotional = notional(settlementDate());
        if (currentNotional == 0.0)
            return 0.0;

        return BondFunctions::yield(*this, cleanPrice, dc, comp, freq,
                                    settlement, accuracy, maxEvaluations);
    }

regards

Dagur G

On Mon, Feb 13, 2012 at 5:22 PM, Luigi Ballabio <[hidden email]> wrote:

Yes, it's a bug. I've fixed it on the 1.2 branch now.

Thanks for the heads-up.

Luigi

On Mon, Feb 13, 2012 at 3:15 PM, Dagur Gunnarsson <[hidden email]> wrote:
> hello,
>
> Is it ok, to post bugs in this mailgroup? I suspect that there is a bug in
> the following code.
>
> 00247
> Real Bond::accruedAmount(Date settlement) const {
> Real currentNotional = notional(settlementDate());
> if (currentNotional == 0.0)
> return 0.0;
>
> return BondFunctions::accruedAmount(*this, settlement);
> }
>
> the code is taken from
> http://quantlib.sourcearchive.com/documentation/1.1-1/bond_8cpp_source.html
>
> notional(settlementDate()) should be notional(settlement) instead - my unit
> tests stopped working for a bond that had a maturity the 8th of February.
>
> regards
> Dagur G
>

> ------------------------------------------------------------------------------
> Try before you buy = See our experts in action!
> The most comprehensive online learning library for Microsoft developers
> is just $99.99! Visual Studio, SharePoint, SQL - plus HTML5, CSS3, MVC3,
> Metro Style Apps, more. Free future releases when you subscribe now!
> http://p.sf.net/sfu/learndevnow-dev2
> _______________________________________________
> QuantLib-users mailing list
> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>

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Luigi Ballabio

Re: a bug in Bonds.cpp

On Tue, Feb 14, 2012 at 12:10 PM, Dagur Gunnarsson <[hidden email]> wrote:
> Hello,
>
> I suspect that this bug is also in
>
> 00232 Rate Bond::yield(...)

Yes, and also in dirtyPrice() above. I had fixed all three.

Luigi

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