#124 Bug in CMS

None
closed-fixed
nobody
None
5
2014-06-19
2010-08-10
No

I am learning myself out of curiosity and want to become a quant developer. While I was studying constant maturity swap, I found a problem while changing nominal value. The sum of caplet and floorlet price is not equal to swaplet price at a strike rate. The bug is in the calculation of swaplet. It does not account for nominal value while calculating swaplet value. It should be “Real swapletPrice = swaplet.price(vars.termStructure) + nominal * swaplet.accrualPeriod() * strike * discount;” at line 452 of test-suite/cms.cpp file.
Thank you,
Dilip

Discussion

  • Luigi Ballabio

    Luigi Ballabio - 2014-06-19
    • status: open --> closed-fixed
    • Group: -->
     

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