[Quantlib-dev] IborIndex::forecastFixing

[Francois B. <ig...@gm...>]

Hi,

I notice this code:

    inline Rate IborIndex::forecastFixing(const Date& d1,
                                          const Date& d2,
                                          Time t) const {
        QL_REQUIRE(!termStructure_.empty(),
                   "null term structure set to this instance of " <<
name());
        DiscountFactor disc1 = termStructure_->discount(d1);
        DiscountFactor disc2 = termStructure_->discount(d2);
        return (disc1/disc2 - 1.0) / t;
    }

The last line looks odd to me. disc1/disc would return a non-continuously
compounded return. Dividing by t is the approach to annualise continuous
returns. So the 2 are not consistent.

I would have expected:
    return std::pow(disc1 / disc2, 1 / t) - 1.0;

On the other hand, if I make that change, many tests fail, so I'm by no
means confident about my assertion above.

regards
Francois Botha