Re: Possible ACT/ACT DayCounter problem

Posted by Luigi Ballabio on Nov 14, 2005; 8:16am
URL: http://quantlib.414.s1.nabble.com/bug-report-negative-price-for-an-American-put-option-using-Bjerksund-and-Stensland-approximation-tp4195p4200.html

On 11/14/2005 05:37:39 AM, Toyin Akin wrote:
> ...the call to yearfraction() within the ACTACT
> daycounter class checks to see if the dates passed in are passed in  
> the correct order. If not it throws an exception.

Toyin,
        you're right. I fixed this in CVS.
As for the Bermudan pricing issue, I'll look at it as soon as I get  
some time.

Later,
        Luigi

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