Bugs item #3525797, was opened at 2012-05-11 03:31
Message generated for change (Tracker Item Submitted) made by miemiec
You can respond by visiting:
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=3525797&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: OIS Coupon calculation
Initial Comment:
I came across a tiny bug in the computation of overnight index coupons. In the file overnightindexcoupon.cpp the funtion swapletRate has a while slope
of type while( fixingDates[i]<today && i<n). When you try to compute the coupon on the payment date than the condition i<n is not satified but the access in fixingDates[i] is executed before. The program crahes.
----------------------------------------------------------------------
You can respond by visiting:
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=3525797&group_id=12740------------------------------------------------------------------------------
Live Security Virtual Conference
Exclusive live event will cover all the ways today's security and
threat landscape has changed and how IT managers can respond. Discussions
will include endpoint security, mobile security and the latest in malware
threats.
http://www.accelacomm.com/jaw/sfrnl04242012/114/50122263/_______________________________________________
QuantLib-dev mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-dev
Locked
