Bug on valuation of OvernightCompoundedRateComputation in the last period.#1593
Merged
yukiiwashita merged 2 commits intomasterfrom Nov 3, 2017
Merged
Bug on valuation of OvernightCompoundedRateComputation in the last period.#1593yukiiwashita merged 2 commits intomasterfrom
yukiiwashita merged 2 commits intomasterfrom
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yukiiwashita
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Nov 3, 2017
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Corrects a bug in the ForwardOvernightCompoundedRateComputationFn. When the valuation date is the last fixing date, the still to be fixed period is ignored. This is coming from using nextFixing.isBefore instead of !nextFixing.isAfter.