bug in blackcapfloorengine.cpp?

Posted by Chris Kenyon-2 on
URL: http://quantlib.414.s1.nabble.com/bug-in-blackcapfloorengine-cpp-tp11783.html

(Also in bug tracker.)

Hi,

in blackcapfloorengine.cpp when the type is Collar the optionletsPrice does
not appear to be updated correctly. Since the collar is long a cap and
short a floor should the optionletsPrice also have the floor subtracted as the
value does?

I.e. does a line need adding after 131 as:

    optionletsPrice.back() -= temp;

Best regards,
Chris

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