[Quantlib-dev] [ quantlib-Bugs-3042627 ] Bug in CMS

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Bugs item #3042627, was opened at 2010-08-10 09:56
Message generated for change (Tracker Item Submitted) made by mandaldi
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Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Private: No
Submitted By: DILIP MANDAL (mandaldi)
Assigned to: Nobody/Anonymous (nobody)
Summary: Bug in CMS

Initial Comment:
I am learning myself out of curiosity and want to become a quant developer. While I was studying constant maturity swap, I found a problem while changing nominal value. The sum of caplet and floorlet price is not equal to swaplet price at a strike rate. The bug is in the calculation of swaplet. It does not account for nominal value while calculating swaplet value. It should be “Real swapletPrice = swaplet.price(vars.termStructure) +                                  nominal * swaplet.accrualPeriod() * strike * discount;” at line 452 of test-suite/cms.cpp file.
Thank you,
Dilip


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You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=3042627&group_id=12740