LinearTsrPricer: fix past payment dates, support overnight swap indices, add missing include #1775
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pcaspers
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pcaspers
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Sep 7, 2023
QuantLib PR: lballabio#1775
lballabio
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Sep 19, 2023
ql/cashflows/lineartsrpricer.cpp
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| if(auto on = ext::dynamic_pointer_cast<OvernightIndexedSwapIndex>(swapIndex_)) { | ||
| onSwap_ = on->underlyingSwap(fixingDate_); | ||
| swapRateValue_ = onSwap_->fairRate(); | ||
| annuity_ = 1.0E4 * std::fabs(onSwap_->fixedLegBPS()); | ||
| swapFixedLeg = onSwap_->fixedLeg(); | ||
| } | ||
| else { | ||
| swap_ = swapIndex_->underlyingSwap(fixingDate_); | ||
| swapRateValue_ = swap_->fairRate(); | ||
| annuity_ = 1.0E4 * std::fabs(swap_->fixedLegBPS()); | ||
| swapFixedLeg = swap_->fixedLeg(); | ||
| } |
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This can probably be reworked now that #1789 is merged
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This PR was automatically marked as stale because it has been open 60 days with no activity. Remove stale label or comment, or this will be closed in two weeks. |
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This PR was automatically marked as stale because it has been open 60 days with no activity. Remove stale label or comment, or this will be closed in two weeks. |
|
This PR was automatically marked as stale because it has been open 60 days with no activity. Remove stale label or comment, or this will be closed in two weeks. |
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