#149 OIS Coupon calculation

closed-fixed
None
5
2012-05-14
2012-05-11
No

I came across a tiny bug in the computation of overnight index coupons. In the file overnightindexcoupon.cpp the funtion swapletRate has a while slope
of type while( fixingDates[i]<today && i<n). When you try to compute the coupon on the payment date than the condition i<n is not satified but the access in fixingDates[i] is executed before. The program crahes.

Discussion

  • Luigi Ballabio

    Luigi Ballabio - 2012-05-14
    • assigned_to: nobody --> lballabio
    • status: open --> closed-fixed
     
  • Luigi Ballabio

    Luigi Ballabio - 2012-05-14

    The bug is now fixed in the Subversion repository.
    Thank you for the report.

     

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