Hi all,
I think we should rathher use
static const Spread bp = 1.0e-4;
annuity_ = std::fabs(swap->fixedLegBPS()/bp);
instead of
static const Spread bp = 1.0e-4;
annuity_ = (swap->floatingLegBPS()/bp);
in conundrumpricer.cpp, lines 106 / 107, shouldn't we ? However, this
change breaks the test suite as follows
Testing Hagan-pricer flat-vol equivalence for swaps...
cms.cpp(386): fatal error in "QuantLib::detail::quantlib_test_case(&CmsTest::testCmsSwap)":
Length in Years: 10
swap index: EuriborSwapIsdaFixA10Y Actual/360
ibor index: Euribor6M Actual/360
spread: 0.000000 %
YieldCurve Model: ExactYield
Numerical Pricer: -1.562514 %
Analytic Pricer: -1.548953 %
difference: 0.013561 %
tolerance: 0.010000 %
so we would have to increase the tolerance. Maybe I am also not seeing
what is going on here. Can anybody help ?
Thank you
Peter
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