[Quantlib-dev] [ quantlib-Bugs-3407976 ] wrong discounting in BlackSwaptionEngine::calculate()

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Bugs item #3407976, was opened at 2011-09-12 10:08
Message generated for change (Tracker Item Submitted) made by skaquant
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Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Private: No
Submitted By: Sarp Kaya Acar (skaquant)
Assigned to: Nobody/Anonymous (nobody)
Summary: wrong discounting in BlackSwaptionEngine::calculate() 

Initial Comment:
In BlackSwapEngine::calculate() the variable atmForward is calculated by using the forwardingTermStructure as the DiscountingSwapEngine is initialized by it. But the discounting swap  should be intialised by the discoutCurve_ so that the fair swap rate is calculated in the \"two curve world\".

More precisely, the block 
 
// using the forecasting curve
swap.setPricingEngine(boost::shared_ptr<PricingEngine>(
new  DiscountingSwapEngine(swap.iborIndex()->forwardingTermStructure(), false))); 

should be changed with

// using the discounting curve
swap.setPricingEngine(boost::shared_ptr<PricingEngine>(
new DiscountingSwapEngine(discountCurve_, false))); 
Regards,

Sarp Kaya



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You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=3407976&group_id=12740