[Quantlib-dev] [ quantlib-Bugs-3096252 ] errors in syntheticcdo.cpp

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Bugs item #3096252, was opened at 2010-10-27 09:48
Message generated for change (Comment added) made by leibniz777
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Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Private: No
Submitted By: leibniz777 (leibniz777)
Assigned to: Nobody/Anonymous (nobody)
Summary: errors in syntheticcdo.cpp

Initial Comment:
There should be made the following corrections:

1.) Implementation of  Real SyntheticCDO::protectionLegNPV():
The last return value should be protectionValue_ instead of premiumValue_.

2.) Implementation of Rate SyntheticCDO::fairPremium ():
If the runningRate_ is set to zero, the premiumValue_ would be zero. This means that the return value is an error value. Wouldn't it be better to introduce the concept of a premium bpv and to use this value to calculate the fair premium?

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>Comment By: leibniz777 (leibniz777)
Date: 2010-10-27 10:47

Message:
I also suggest to implement a function that gives the upfront premium value
similar to the function premiumValue() that gives the running premium
value.

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You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=3096252&group_id=12740