True. Last week I reported it to the author, but he's busy with his
fixed. I'm afraid it happens in the best families...
> The test failure was introduced in revision 18001. It alters the way
> the price values are computed and therefore doesn't pass the test that
> existed. If the test is wrong, then fix it so the tests pass,
> otherwise the asset swap code needs to be fixed.
> I don't know too much about this code, so I don't know what is right
> or wrong, just know when the test that existed started to fail.
>
> Index: ql/instruments/assetswap.cpp
> ===================================================================
> --- ql/instruments/assetswap.cpp (revision 18000)
> +++ ql/instruments/assetswap.cpp (revision 18001)
> @@ -243,12 +243,12 @@
> // backpayment on the floating leg
> // (accounts for non-par redemption, if any)
> Real backPayment = notional;
> - shared_ptr<CashFlow> backPaymentCashFlow (new
> + shared_ptr<CashFlow> backPaymentCashFlow(new
> SimpleCashFlow(backPayment, finalDate));
> legs_[1].push_back(backPaymentCashFlow);
> } else {
> // final notional exchange
> - shared_ptr<CashFlow> finalCashFlow (new
> + shared_ptr<CashFlow> finalCashFlow(new
> SimpleCashFlow(notional, finalDate));
> legs_[1].push_back(finalCashFlow);
> }
> @@ -349,12 +349,12 @@
> "fair clean price not available for seasoned deal");
> Real notional = bond_->notional(upfrontDate_);
> if (parSwap_) {
> - fairCleanPrice_ = bondCleanPrice_ -
> + fairCleanPrice_ = bondCleanPrice_ - payer_[0] *
> NPV_*npvDateDiscount_/startDiscounts_[1]/(notional/100.0);
> } else {
> Real accruedAmount = bond_->accruedAmount(upfrontDate_);
> Real dirtyPrice = bondCleanPrice_ + accruedAmount;
> - Real fairDirtyPrice = - legNPV_[0]/legNPV_[1] * dirtyPrice;
> + Real fairDirtyPrice = - payer_[0] *
> legNPV_[0]/legNPV_[1] * dirtyPrice;
> fairCleanPrice_ = fairDirtyPrice - accruedAmount;
> }
>
> @@ -370,7 +370,7 @@
> QL_REQUIRE(endDiscounts_[1]!=Null<DiscountFactor>(),
> "fair non par repayment not available for expired leg");
> Real notional = bond_->notional(upfrontDate_);
> - fairNonParRepayment_ = nonParRepayment_ -
> + fairNonParRepayment_ = nonParRepayment_ + payer_[0] *
> NPV_*npvDateDiscount_/endDiscounts_[1]/(notional/100.0);
> return fairNonParRepayment_;
> }
>
>
> On Sat, Sep 17, 2011 at 3:49 PM, Matt Fair <
[hidden email]> wrote:
> > I noticed this in the tests:
> >
> > Testing consistency between fair price and fair spread...
> > assetswap.cpp(181): fatal error in
> > "QuantLib::detail::quantlib_test_case(&AssetSwapTest::testConsistency)":
> > par asset swap fair clean price doesn't zero the NPV:
> > clean price: 95.0000
> > fair clean price: 107.0805
> > NPV: 24.1511
> > tolerance: 0.0000
> >
> > This is the only test that fails.
> >
> > Matt
>
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