New issue

Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.

By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.

Already on GitHub? Sign in to your account

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

Merged
merged 1 commit into from Nov 15, 2017

Conversation

Projects
None yet
3 participants
@marc-henrard
Contributor

marc-henrard commented Nov 15, 2017

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

@marc-henrard marc-henrard requested a review from yukiiwashita Nov 15, 2017

@yukiiwashita yukiiwashita merged commit 359067e into master Nov 15, 2017

15 checks passed

continuous-integration/travis-ci/pr The Travis CI build passed
Details
continuous-integration/travis-ci/push The Travis CI build passed
Details
security/snyk No new issues
Details
security/snyk - modules/basics/pom.xml No new issues
Details
security/snyk - modules/calc/pom.xml No new issues
Details
security/snyk - modules/collect/pom.xml No new issues
Details
security/snyk - modules/data/pom.xml No new issues
Details
security/snyk - modules/loader/pom.xml No new issues
Details
security/snyk - modules/market/pom.xml No new issues
Details
security/snyk - modules/math/pom.xml No new issues
Details
security/snyk - modules/measure/pom.xml No new issues
Details
security/snyk - modules/pom.xml No new issues
Details
security/snyk - modules/pricer/pom.xml No new issues
Details
security/snyk - modules/product/pom.xml No new issues
Details
security/snyk - modules/report/pom.xml No new issues
Details

@yukiiwashita yukiiwashita deleted the topic/parspread-1p branch Nov 15, 2017

@jodastephen jodastephen added this to the v1.6 milestone Nov 24, 2017

Sign up for free to join this conversation on GitHub. Already have an account? Sign in to comment