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

[SourceForge.net <no...@so...>]

Patches item #811296, was opened at 2003-09-23 19:33
Message generated for change (Comment added) made by lballabio
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=811296&group_id=12740

Category: None
Group: None
>Status: Closed
Resolution: None
Priority: 5
Submitted By: Nobody/Anonymous (nobody)
>Assigned to: Luigi Ballabio (lballabio)
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...

----------------------------------------------------------------------

>Comment By: Luigi Ballabio (lballabio)
Date: 2003-10-09 13:56

Message:
Logged In: YES 
user_id=75450

Patch applied.

----------------------------------------------------------------------

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=811296&group_id=12740