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RE: Re: Possible ACT/ACT DayCounter problem

Posted by Toyin Akin on Nov 14, 2005; 8:55am
URL: http://quantlib.414.s1.nabble.com/bug-report-negative-price-for-an-American-put-option-using-Bjerksund-and-Stensland-approximation-tp4195p4201.html

Thanks,

Toy out.


>From: Luigi Ballabio <[hidden email]>
>To: Toyin Akin <[hidden email]>
>CC: [hidden email]
>Subject: [Quantlib-users] Re: Possible ACT/ACT DayCounter problem
>Date: Mon, 14 Nov 2005 16:12:03 +0000
>
>
>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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