Skip to content

Fix AffineSwaption payFixed default #198

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.

Sign up for GitHub

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

Merged
eddelbuettel merged 2 commits into from
Jul 22, 2026
Merged

Fix AffineSwaption payFixed default #198

Show file tree
Hide file tree
Changes from all commits
Commits
Show all changes
2 commits
Select commit Hold shift + click to select a range
50d5409
Fix AffineSwaption payFixed default
m-muecke Jul 22, 2026
0c2ea8b
Document AffineSwaption payFixed fix
m-muecke Jul 22, 2026
File filter

Filter by extension

Filter by extension
Conversations
Failed to load comments.
Loading
Jump to
Jump to file
Failed to load files.
Loading
Diff view
Diff view
2 changes: 2 additions & 0 deletions ChangeLog
View file
Open in desktop
Original file line number Diff line number Diff line change
@@ -1,5 +1,7 @@
2026-07-22 Maximilian Muecke <muecke.maximilian@gmail.com>

* R/affine.R (AffineSwaption.default): Correct default handling of the
payFixed parameter
* src/utils.cpp: Accept "Euribor1W" as an alias for "EuriborSW" in
buildIborIndex

Expand Down
6 changes: 3 additions & 3 deletions R/affine.R
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -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
Expand Down
Loading