Re: [Quantlib-dev] In arrears adjustment

[Luigi B. <lui...@gm...>]

Peter,
    I committed the fix.  Thanks for the heads-up.

Luigi

On Sat, Nov 3, 2012 at 7:09 PM, Peter Caspers <pca...@gm...> wrote:
> 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);
>               }
>
>
>
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