From 534232e987c851aee6500cfd8c5d7bc68cf87169 Mon Sep 17 00:00:00 2001 From: Xiaofeng Hao Date: Thu, 3 Aug 2023 15:31:37 +0800 Subject: [PATCH] Fix QL_REQUIRE for physical-settled FX Forward --- QuantExt/qle/pricingengines/discountingfxforwardengine.cpp | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/QuantExt/qle/pricingengines/discountingfxforwardengine.cpp b/QuantExt/qle/pricingengines/discountingfxforwardengine.cpp index e028810b74..d54916417d 100644 --- a/QuantExt/qle/pricingengines/discountingfxforwardengine.cpp +++ b/QuantExt/qle/pricingengines/discountingfxforwardengine.cpp @@ -97,7 +97,7 @@ void DiscountingFxForwardEngine::calculate() const { Real fx1 = settleCcy1 ? 1.0 : fxfwd; Real fx2 = settleCcy1 ? 1 / fxfwd : 1.0; - QL_REQUIRE(!arguments_.isPhysicallySettled || arguments_.payDate <= arguments_.fixingDate || + QL_REQUIRE(arguments_.isPhysicallySettled || arguments_.payDate <= arguments_.fixingDate || arguments_.fxIndex != nullptr, "If pay date (" << arguments_.payDate << ") is strictly after fixing date (" << arguments_.fixingDate << "), an FX Index must be given for a cash-settled FX Forward.");