Re: [Quantlib-dev] ql/experimental/inflation/yoycapfloortermpricesurface.hpp: bug in intersect() ? (raffaele.pellicani@zkb.ch)

[Chris K. <chr...@ya...>]

Hi,

yes, this was a bug (thanks Raffaele). The fix is now in the 0.99 branch as:

if ( floorPrice_(t,fStrikes_.back()) > capPrice_(t,fStrikes_.back()) ) {

logic as before.  

Changing to fStrikes_.back() on both sides of the comparison ensures that the same strike is used (also as suggested), otherwise strange effects are possible.    

Best regards,
Chris