Bugs item #3013290, was opened at 2010-06-08 17:13
Message generated for change (Tracker Item Submitted) made by miemiec
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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.
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