diff --git a/ChangeLog b/ChangeLog index 0a8ace3..8513b34 100644 --- a/ChangeLog +++ b/ChangeLog @@ -1,3 +1,8 @@ +2026-07-21 Maximilian Muecke + + * src/utils.cpp: Correct Euribor2W and Euribor3W tenors when using + QuantLib 1.35 or later + 2026-07-20 Dirk Eddelbuettel * configure.ac: Refresh version list triggering 'outdated' message; diff --git a/src/utils.cpp b/src/utils.cpp index efcf9ac..9ddc3ea 100644 --- a/src/utils.cpp +++ b/src/utils.cpp @@ -486,9 +486,9 @@ qlext::shared_ptr buildIborIndex(std::string type, if (type == "EuriborSW") return qlext::make_shared(iborStrc); if (type == "Euribor1M") return qlext::make_shared(1*QuantLib::Months, iborStrc); if (type == "Euribor2M") return qlext::make_shared(2*QuantLib::Months, iborStrc); - if (type == "Euribor2W") return qlext::make_shared(2*QuantLib::Months, iborStrc); + if (type == "Euribor2W") return qlext::make_shared(2*QuantLib::Weeks, iborStrc); if (type == "Euribor3M") return qlext::make_shared(3*QuantLib::Months, iborStrc); - if (type == "Euribor3W") return qlext::make_shared(3*QuantLib::Months, iborStrc); + if (type == "Euribor3W") return qlext::make_shared(3*QuantLib::Weeks, iborStrc); if (type == "Euribor4M") return qlext::make_shared(4*QuantLib::Months, iborStrc); if (type == "Euribor5M") return qlext::make_shared(5*QuantLib::Months, iborStrc); if (type == "Euribor6M") return qlext::make_shared(6*QuantLib::Months, iborStrc);