Bugs item #3013290, was opened at 2010-06-08 17:13
Message generated for change (Comment added) made by miemiec
You can respond by visiting:
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=3013290&group_id=12740Please note that this message will contain a full copy of the comment thread,
including the initial issue submission, for this request,
not just the latest update.
Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Private: No
Submitted By: Andre Miemiec (miemiec)
Assigned to: Nobody/Anonymous (nobody)
Summary: Bug: CMS Swap
Initial Comment:
In Version 1.1 the CMS Swap does not work correctly. The problem is located in the constructor
BlackVanillaOptionPricer::BlackVanillaOptionPricer(Rate forwardValue,
Date expiryDate,
const Period& swapTenor,
const boost::shared_ptr<SwaptionVolatilityStructure>& volatilityStructure )
where the member variable smile_ should be initialized with the result from volatilityStructure_->smileSection(expiryDate_, swapTenor_).
As far as I can see inside the function volatilityStructure_->smileSection(expiryDate_, swapTenor_) everything is constructed correctly.
But as soon as the result is copied into smile_ some of the data are not set.
In particular the variable exerciseTime_ is a huge negative number causing an error later on.
----------------------------------------------------------------------
>Comment By: Andre Miemiec (miemiec)
Date: 2010-06-11 13:06
Message:
Even in release mode the results are not convincing. Recomputation of a
cms-swap produces two different results. The cashflow table of the CMS-Leg
is completely wrong.
----------------------------------------------------------------------
Comment By: Andre Miemiec (miemiec)
Date: 2010-06-10 09:18
Message:
Seems only to appear in Debug Mode (Static XL).
----------------------------------------------------------------------
You can respond by visiting:
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=3013290&group_id=12740------------------------------------------------------------------------------
ThinkGeek and WIRED's GeekDad team up for the Ultimate
GeekDad Father's Day Giveaway. ONE MASSIVE PRIZE to the
lucky parental unit. See the prize list and enter to win:
http://p.sf.net/sfu/thinkgeek-promo_______________________________________________
QuantLib-dev mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-dev
Locked
