BlackSwaptionEngine

Posted by Peter Caspers-4 on Mar 24, 2013; 7:59pm
URL: http://quantlib.414.s1.nabble.com/BlackSwaptionEngine-tp14167.html

Hi,

why is the atm level in line 78 and following computed with the
forwarding and not the discount curve ?

         // using the forecasting curve
swap.setPricingEngine(boost::shared_ptr<PricingEngine>(new
DiscountingSwapEngine(swap.iborIndex()->forwardingTermStructure(),
                                   false)));
         Rate atmForward = swap.fairRate();

I think in a usual curve setup it would be better to replace
swap.iborIndex()->forwardingTermStructure() by discountCurve_, wouldn't it ?

Thanks a lot
Peter

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