Menu

#126 errors in syntheticcdo.cpp

None
closed
nobody
None
5
2017-12-06
2010-10-27
leibniz777
No

There should be made the following corrections:

1.) Implementation of Real SyntheticCDO::protectionLegNPV():
The last return value should be protectionValue_ instead of premiumValue_.

2.) Implementation of Rate SyntheticCDO::fairPremium ():
If the runningRate_ is set to zero, the premiumValue_ would be zero. This means that the return value is an error value. Wouldn't it be better to introduce the concept of a premium bpv and to use this value to calculate the fair premium?

Discussion

  • leibniz777

    leibniz777 - 2010-10-27

    I also suggest to implement a function that gives the upfront premium value similar to the function premiumValue() that gives the running premium value.

     
  • Luigi Ballabio

    Luigi Ballabio - 2017-12-06
    • status: open --> closed
    • Group: -->
     

Log in to post a comment.

MongoDB Logo MongoDB