Bugs item #1909433, was opened at 2008-03-07 11:27
Message generated for change (Comment added) made by lballabio
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Category: None
Group: None
>Status: Closed
>Resolution: Fixed
Priority: 5
Private: No
Submitted By: Nobody/Anonymous (nobody)
>Assigned to: Ferdinando Ametrano (nando)
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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Comment By: Luigi Ballabio (lballabio)
Date: 2008-03-07 21:44
Message:
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The bug is now fixed in CVS.
Thank you for the report.
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