Bugs item #3525797, was opened at 2012-05-11 03:31
Message generated for change (Comment added) made by lballabio
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Category: None
Group: None
>Status: Closed
>Resolution: Fixed
Priority: 5
Private: No
Submitted By: Andre Miemiec (miemiec)
>Assigned to: Luigi Ballabio (lballabio)
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.
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Comment By: Luigi Ballabio (lballabio)
Date: 2012-05-14 03:18
Message:
The bug is now fixed in the Subversion repository.
Thank you for the report.
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https://sourceforge.net/tracker/?func=detail&atid=112740&aid=3525797&group_id=12740------------------------------------------------------------------------------
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