[Quantlib-dev] multistepswaption issue

[Peter C. <pca...@vo...>]

Hi,

when pricing a MultiProductComposite consisting of several 
MultiStepSwaption objects with different start indices (=fixing times), 
I get wrong npvs for all swaptions except the ones with startIndex = 
maximum over all start indices of swaptions in the basket. This is 
because the swaptions generate cashflows also for evolver steps > their 
respective start index.

I believe the MultiStepSwaption code (ql 1.1) should be modified as 
follows to avoid this

          if (currentIndex_ == startIndex_)
          {
              genCashFlows[0][0].timeIndex = 0;

              genCashFlows[0][0].amount =
                  (*payoff_)(swapRate) * annuity;

              numberCashFlowsThisStep[0] =genCashFlows[0][0].amount != 
0.0 ? 1 : 0 ;

-            return true;
          }
          else
          {
              numberCashFlowsThisStep[0] =0;
-            ++currentIndex_;
-            return false;
          }

+        ++currentIndex_;
+        return currentIndex_ > startIndex_;

After that change it works fine imo.

Regards
Peter