Patches item #811296, was opened at 2003-09-23 19:33
Message generated for change (Comment added) made by lballabio
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https://sourceforge.net/tracker/?func=detail&atid=312740&aid=811296&group_id=12740Category: None
Group: None
>Status: Closed
Resolution: None
Priority: 5
Submitted By: Nobody/Anonymous (nobody)
>Assigned to: Luigi Ballabio (lballabio)
Summary: European Swaption Excercise time
Initial Comment:
In ql/Pricers/blackswaption.cpp the BlackSwaption
pricer is assuming the excercise date of the option is
the start date of the swap.
Line 29:
'Time start = arguments_.floatingResetTimes[0];'
In order to use the excercise times present this needs
to be changed to:
'Time start = arguments_.exerciseTimes[0];'
And of course you might want to change the name of
the variable to something other than 'start'
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>Comment By: Luigi Ballabio (lballabio)
Date: 2003-10-09 13:56
Message:
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Patch applied.
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