Bugs item #3096252, was opened at 2010-10-27 09:48
Message generated for change (Tracker Item Submitted) made by leibniz777
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Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Private: No
Submitted By: leibniz777 (leibniz777)
Assigned to: Nobody/Anonymous (nobody)
Summary: errors in syntheticcdo.cpp
Initial Comment:
There should be made the following corrections:
1.) Implementation of Real SyntheticCDO::protectionLegNPV():
The last return value should be protectionValue_ instead of premiumValue_.
2.) Implementation of Rate SyntheticCDO::fairPremium ():
If the runningRate_ is set to zero, the premiumValue_ would be zero. This means that the return value is an error value. Wouldn't it be better to introduce the concept of a premium bpv and to use this value to calculate the fair premium?
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