From 50d5409b5d5a6572f7029a168d2a8276610291fb Mon Sep 17 00:00:00 2001 From: Maximilian Muecke Date: Wed, 22 Jul 2026 23:20:14 +0200 Subject: [PATCH 1/2] Fix AffineSwaption payFixed default --- R/affine.R | 6 +++--- 1 file changed, 3 insertions(+), 3 deletions(-) diff --git a/R/affine.R b/R/affine.R index b402912a..3426f29f 100644 --- a/R/affine.R +++ b/R/affine.R @@ -52,9 +52,9 @@ AffineSwaption.default <- function(params, params$european=TRUE warning("affine swaption european flag not set defaulting to european") } - if(is.null(params$payFix)){ - params$payFix=TRUE - warning("affine swaption payFix flag not set defaulting to pay fix swap") + if(is.null(params$payFixed)){ + params$payFixed=TRUE + warning("affine swaption payFixed flag not set defaulting to pay fixed swap") } matYears=as.numeric(params$maturity-params$tradeDate)/365 From 0c2ea8b763accfa9820c5adc4eeb84af9331e52e Mon Sep 17 00:00:00 2001 From: Maximilian Muecke Date: Wed, 22 Jul 2026 23:41:09 +0200 Subject: [PATCH 2/2] Document AffineSwaption payFixed fix --- ChangeLog | 2 ++ 1 file changed, 2 insertions(+) diff --git a/ChangeLog b/ChangeLog index 36b3a510..7d95ee33 100644 --- a/ChangeLog +++ b/ChangeLog @@ -1,5 +1,7 @@ 2026-07-22 Maximilian Muecke + * R/affine.R (AffineSwaption.default): Correct default handling of the + payFixed parameter * src/utils.cpp: Accept "Euribor1W" as an alias for "EuriborSW" in buildIborIndex