Bugs item #2871959, was opened at 2009-10-02 20:59
Message generated for change (Settings changed) made by lballabio
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Category: None
Group: None
>Status: Closed
>Resolution: Fixed
Priority: 5
Private: No
Submitted By: Fabio Ramponi (fabioramponi)
>Assigned to: Luigi Ballabio (lballabio)
Summary: OptionletStripper1
Initial Comment:
in the class OptionletStripper1, if I specify a specific switchStrike in the constructor, the private variable atmOptionletRate_ won't be filled with the forward rates: these forward rates are anyway needed for the calculation of optionletStDevs_, causing an error.
I would suggest to move the line 84 of optionletstripper1.cpp to the previous for loop (let's say around line 75). In this way, the forward rates would be calculated even if I specify a fixed switchRate.
attached you'll find the version of the file I'm actually using.
Regards,
Fabio Ramponi
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Comment By: Luigi Ballabio (lballabio)
Date: 2009-10-05 11:16
Message:
The patch was applied to the Subversion repository.
Thank you for the report and the fix.
----------------------------------------------------------------------
You can respond by visiting:
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2871959&group_id=12740------------------------------------------------------------------------------
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