wrong discounting in BlackSwapEngine::calculate()

Posted by sarpkacar on
URL: http://quantlib.414.s1.nabble.com/wrong-discounting-in-BlackSwapEngine-calculate-tp6244.html

 

Hi,

 

In BlackSwapEngine::calculate() the variable atmForward is calculated by using the forwardingTermStructure as the DiscountingSwapEngine is initialized by it. But the discounting swap  should be intialised by the discoutCurve_ so that the fair swap rate is calculated in the "two curve world". I tried to report a bug, but couldn't succeed. The block

 

// using the forecasting curve

swap.setPricingEngine(boost::shared_ptr<PricingEngine>(

new  DiscountingSwapEngine(swap.iborIndex()->forwardingTermStructure(), false)));

should be changed with

// using the discounting curve

swap.setPricingEngine(boost::shared_ptr<PricingEngine>(

new DiscountingSwapEngine(discountCurve_, false)));

Regards,

Sarp Kaya

------------------------------------------------------------------------------
Doing More with Less: The Next Generation Virtual Desktop
What are the key obstacles that have prevented many mid-market businesses
from deploying virtual desktops?   How do next-generation virtual desktops
provide companies an easier-to-deploy, easier-to-manage and more affordable
virtual desktop model.http://www.accelacomm.com/jaw/sfnl/114/51426474/
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users