[Quantlib-dev] [ quantlib-Patches-811296 ] European Swaption Excercise time

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Patches item #811296, was opened at 2003-09-23 10:33
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Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Submitted By: Nobody/Anonymous (nobody)
Assigned to: Nobody/Anonymous (nobody)
Summary: European Swaption Excercise time

Initial Comment:
In ql/Pricers/blackswaption.cpp the BlackSwaption 

pricer is assuming the excercise date of the option is 

the start date of the swap.

Line 29:

 'Time start = arguments_.floatingResetTimes[0];'

In order to use the excercise times present this needs 

to be changed to:

 'Time start = arguments_.exerciseTimes[0];'



And of course you might want to change the name of 

the variable to something other than 'start'



Bi...@ci...

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