From: Peter C. <pca...@gm...> - 2013-03-24 20:00:01
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Hi, why is the atm level in line 78 and following computed with the forwarding and not the discount curve ? // using the forecasting curve swap.setPricingEngine(boost::shared_ptr<PricingEngine>(new DiscountingSwapEngine(swap.iborIndex()->forwardingTermStructure(), false))); Rate atmForward = swap.fairRate(); I think in a usual curve setup it would be better to replace swap.iborIndex()->forwardingTermStructure() by discountCurve_, wouldn't it ? Thanks a lot Peter |
From: Luigi B. <lui...@gm...> - 2013-03-25 10:36:05
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Correct. The good news is that this was already fixed a short while ago in the subversion repository. Luigi On Sun, Mar 24, 2013 at 8:59 PM, Peter Caspers <pca...@gm...> wrote: > Hi, > > why is the atm level in line 78 and following computed with the > forwarding and not the discount curve ? > > // using the forecasting curve > swap.setPricingEngine(boost::shared_ptr<PricingEngine>(new > DiscountingSwapEngine(swap.iborIndex()->forwardingTermStructure(), > false))); > Rate atmForward = swap.fairRate(); > > I think in a usual curve setup it would be better to replace > swap.iborIndex()->forwardingTermStructure() by discountCurve_, wouldn't it ? > > Thanks a lot > Peter > > ------------------------------------------------------------------------------ > Everyone hates slow websites. So do we. > Make your web apps faster with AppDynamics > Download AppDynamics Lite for free today: > http://p.sf.net/sfu/appdyn_d2d_mar > _______________________________________________ > QuantLib-dev mailing list > Qua...@li... > https://lists.sourceforge.net/lists/listinfo/quantlib-dev |