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

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Bugs item #1909433, was opened at 2008-03-07 11:27
Message generated for change (Comment added) made by lballabio
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Category: None
Group: None
>Status: Closed
>Resolution: Fixed
Priority: 5
Private: No
Submitted By: Nobody/Anonymous (nobody)
>Assigned to: Ferdinando Ametrano (nando)
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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Comment By: Luigi Ballabio (lballabio)
Date: 2008-03-07 21:44

Message:
Logged In: YES 
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Originator: NO

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


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You can respond by visiting: 
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