[Quantlib-dev] Bug in PayoffWrapper in ql/FiniteDifferences/stepcondition.hpp

[Klaus S. <kla...@fr...>]

Hi 

IMO there is a potential bug in the FD module, namely the usage of 
PayoffWrapper in CurveDependentStepCondition (or may be I don't get point;-).

Using the corresponding functionality the Payoff would be applied to the 
intrinsic value of the derivative within the step condition when doing the 
backwards propagation, which leads to wrong results. 

The corresponding constructors aren't used in QL test-suite or in Examples 
anymore. I therefore suggest to remove them from the QL 
(americanconstion.hpp, shoutcondition.hpp, stepcondition.hpp).

Thoughts?

cheers
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Klaus Spanderen
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