Bugs item #1909433, was opened at 2008-03-07 02:27
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Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Private: No
Submitted By: Nobody/Anonymous (nobody)
Assigned to: Nobody/Anonymous (nobody)
Summary: blackcapfloorengine.cpp
Initial Comment:
Hi,
in blackcapfloorengine.cpp when the type is Collar the optionletsPrice is not updated correctly (at all in fact). Since the collar is long a cap and short a floor the optionletsPrice should have the floor subtracted as the value does. I.e. a line needs adding after 131 as:
optionletsPrice.back() -= temp;
Best regards,
Chris Kenyon
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