[Quantlib-dev] [ quantlib-Bugs-1909433 ] blackcapfloorengine.cpp

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Bugs item #1909433, was opened at 2008-03-07 02:27
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Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Private: No
Submitted By: Nobody/Anonymous (nobody)
Assigned to: Nobody/Anonymous (nobody)
Summary: blackcapfloorengine.cpp 

Initial Comment:
Hi,

in blackcapfloorengine.cpp when the type is Collar the optionletsPrice is not updated correctly (at all in fact).  Since the collar is long a cap and short a floor the optionletsPrice should have the floor subtracted as the value does.  I.e. a line needs adding after 131 as:

optionletsPrice.back() -= temp;

Best regards,

Chris Kenyon
chr...@ya...

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You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=1909433&group_id=12740