Re: [Quantlib-users] Qurious finding in ORE code

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

Hi Ioannis

this is a typo, the line should actually be

            T += std::pow(fixingEndTime - T, 3.0) /
std::pow(fixingEndTime - fixingStartTime, 2.0) / 3.0;

This corresponds to the formula for v_j^B at the end of section 6.3 in
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3330240.

We will fix this shortly.

Thank you
Peter

On Wed, 4 Jan 2023 at 19:13, Ioannis Rigopoulos <qua...@de...> wrote:
>
> Does anyone have a clue on why the statement (found in
> blackovernightindexedcouponpricer.cpp)
>
> T += std::pow(fixingEndTime - T, 3.0) / std::pow(fixingEndTime - T, 2.0)
> / 3.0;
>
> is not coded much more simply as
>
> T +=( fixingEndTime - T ) / 3.0;
>
> The two variables T and fixingEndTime  are both double.
>
> I am only asking in case there is some sort of sophisticated trick that
> I am missing.
>
> Ioannis
>
>
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