[Quantlib-dev] [ quantlib-Bugs-2871959 ] OptionletStripper1

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Bugs item #2871959, was opened at 2009-10-02 20:59
Message generated for change (Tracker Item Submitted) made by fabioramponi
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Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Private: No
Submitted By: Fabio Ramponi (fabioramponi)
Assigned to: Nobody/Anonymous (nobody)
Summary: OptionletStripper1

Initial Comment:
in the class OptionletStripper1, if I specify a specific switchStrike in the constructor, the private variable atmOptionletRate_ won't be filled with the forward rates: these forward rates are anyway needed for the calculation of optionletStDevs_, causing an error. 

I would suggest to move the line 84 of optionletstripper1.cpp to the previous for loop (let's say around line 75). In this way, the forward rates would be calculated even if I specify a fixed switchRate.

attached you'll find the version of the file I'm actually using.

Regards,

Fabio Ramponi

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You can respond by visiting: 
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