multistepswaption issue

[Peter Caspers-2]

Hi,

when pricing a MultiProductComposite consisting of several MultiStepSwaption objects with different start indices (=fixing times), I get wrong npvs for all swaptions except the ones with startIndex = maximum over all start indices of swaptions in the basket. This is because the swaptions generate cashflows also for evolver steps > their respective start index.

I believe the MultiStepSwaption code (ql 1.1) should be modified as follows to avoid this

         if (currentIndex_ == startIndex_)
         {
             genCashFlows[0][0].timeIndex = 0;
 
             genCashFlows[0][0].amount =
                 (*payoff_)(swapRate) * annuity;

             numberCashFlowsThisStep[0] =genCashFlows[0][0].amount != 0.0 ? 1 : 0 ;

-            return true;
         }
         else
         {
             numberCashFlowsThisStep[0] =0;
-            ++currentIndex_;
-            return false;
         }

+        ++currentIndex_;
+        return currentIndex_ > startIndex_;

After that change it works fine imo.

Regards
Peter

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