[Quantlib-dev] [ quantlib-Bugs-2919912 ] fair upfront not computed if upfront rate eqs zero

[SourceForge.net <no...@so...>]

Bugs item #2919912, was opened at 2009-12-23 10:12
Message generated for change (Tracker Item Submitted) made by japaricio
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2919912&group_id=12740

Please note that this message will contain a full copy of the comment thread,
including the initial issue submission, for this request,
not just the latest update.
Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Private: No
Submitted By: Aparicio-Navarro Jose (japaricio)
Assigned to: Nobody/Anonymous (nobody)
Summary: fair upfront not computed if upfront rate eqs zero

Initial Comment:
The lib is not giving a CDS fair upfront value when the upfront rate is zero even if the contract is not ATM and the upfront date is still ahead in time. This is because the way the fair value is computed includes the actual rate, which is unnecessary. 

To reproduce it just set up a not ATM CDS with zero upfront rate and request for it, then set it to say 1.e-6.

The patch passes the test-suite.

Best regards
Pepe


----------------------------------------------------------------------

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2919912&group_id=12740