Bugs item #3407976, was opened at 2011-09-12 10:08
Message generated for change (Tracker Item Submitted) made by skaquant
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Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Private: No
Submitted By: Sarp Kaya Acar (skaquant)
Assigned to: Nobody/Anonymous (nobody)
Summary: wrong discounting in BlackSwaptionEngine::calculate()
Initial Comment:
In BlackSwapEngine::calculate() the variable atmForward is calculated by using the forwardingTermStructure as the DiscountingSwapEngine is initialized by it. But the discounting swap should be intialised by the discoutCurve_ so that the fair swap rate is calculated in the \"two curve world\".
More precisely, the block
// using the forecasting curve
swap.setPricingEngine(boost::shared_ptr<PricingEngine>(
new DiscountingSwapEngine(swap.iborIndex()->forwardingTermStructure(), false)));
should be changed with
// using the discounting curve
swap.setPricingEngine(boost::shared_ptr<PricingEngine>(
new DiscountingSwapEngine(discountCurve_, false)));
Regards,
Sarp Kaya
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