[Quantlib-dev] [ quantlib-Bugs-3013290 ] Bug: CMS Swap

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

Bugs item #3013290, was opened at 2010-06-08 17:13
Message generated for change (Tracker Item Submitted) made by miemiec
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=3013290&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: Andre Miemiec (miemiec)
Assigned to: Nobody/Anonymous (nobody)
Summary: Bug: CMS Swap

Initial Comment:
In Version 1.1 the CMS Swap does not work correctly. The problem is located in the constructor 

BlackVanillaOptionPricer::BlackVanillaOptionPricer(Rate forwardValue, 
                                                                                  Date expiryDate, 
                                                                                  const Period& swapTenor, 
                                                                                  const boost::shared_ptr<SwaptionVolatilityStructure>& volatilityStructure ) 


where the member variable smile_ should be initialized with the result from volatilityStructure_->smileSection(expiryDate_, swapTenor_). 
As far as I can see inside the function volatilityStructure_->smileSection(expiryDate_, swapTenor_) everything is constructed correctly.

But as soon as the result is copied into smile_ some of the data are not set.
In particular the variable exerciseTime_ is a huge negative number causing an error later on. 







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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=3013290&group_id=12740