#3 European Swaption Excercise time

[Anonymous]

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'

Bill@cirm.com

[Luigi Ballabio]

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Patch applied.