Posted by
Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/wrong-discounting-in-BlackSwapEngine-calculate-tp6244p6245.html
Hi Sarp,
you're right. The code was fixed in the repository, so next
release will behave correctly.
Thanks for the heads-up,
Luigi
On Thu, Sep 8, 2011 at 11:17 PM, SK A <
[hidden email]> wrote:
>
> 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
>
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