[ quantlib-Bugs-3013290 ] Bug: CMS Swap

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Bugs item #3013290, was opened at 2010-06-08 17:13
Message generated for change (Comment added) made by lballabio
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Category: None
Group: None
>Status: Pending
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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>Comment By: Luigi Ballabio (lballabio)
Date: 2011-07-19 14:50

Message:
Weird.  The result shouldn't even be _copied_ into smile_; only a pointer
to the smile section should be copied.

Do you have some code that reproduces the problem?



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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.

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Comment By: Andre Miemiec (miemiec)
Date: 2010-06-10 09:18

Message:
Seems only to appear in Debug Mode (Static XL).

----------------------------------------------------------------------

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