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Improve par spread for swaps with only one period. #1608

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merged 1 commit into from
Nov 15, 2017

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marc-henrard
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Previously, swap with only one payment period and composition on the IBOR leg did not return a par spread.
The logic of the code has been reversed, first checking if the fixed leg is compounded and then using the standard par spread. This allow to remove the restriction on the number of periods.
All swap for which the par spread was computed in the previous code should still be computed and provide the same result.
Solves #1605

@yukiiwashita yukiiwashita merged commit 359067e into master Nov 15, 2017
@yukiiwashita yukiiwashita deleted the topic/parspread-1p branch November 15, 2017 13:55
@jodastephen jodastephen added this to the v1.6 milestone Nov 24, 2017
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3 participants