[Quantlib-dev] In arrears adjustment

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

Hi,

I think the in arrears adjustment in couponpricer.cpp is computed 
slightly wrong. Shouldn't it be like in the adjusted code below?

Thanks, Peter

ql/cashflows/couponpricer.cpp

              // see Hull, 4th ed., page 550
              QL_REQUIRE(!capletVolatility().empty(),
                         "missing optionlet volatility");
              Date d1 = coupon_->fixingDate(),
+                 d2 = coupon_->index()->valueDate(d1),
                   referenceDate = capletVolatility()->referenceDate();
              if (d1 <= referenceDate) {
                  adjustement = 0.0;
              } else {
-                Date d2 = coupon_->index()->maturityDate(d1);
-                Time tau = 
coupon_->index()->dayCounter().yearFraction(d1, d2);
+                Date d3 = coupon_->index()->maturityDate(d2);
+                Time tau = 
coupon_->index()->dayCounter().yearFraction(d2, d3);
                  Real variance = capletVolatility()->blackVariance(d1, 
fixing);
                  adjustement = fixing*fixing*variance*tau/(1.0+fixing*tau);
              }