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2 parents aee657c + 39fe6af commit c9743e7Copy full SHA for c9743e7
1 file changed
ql/termstructures/volatility/optionlet/strippedoptionlet.cpp
@@ -160,8 +160,12 @@ namespace QuantLib {
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const vector<Time>& StrippedOptionlet::atmOptionletRates() const {
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calculate();
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- for (Size i=0; i<nOptionletDates_; ++i)
+ QL_REQUIRE(boost::dynamic_pointer_cast<OvernightIndex>(iborIndex_) == nullptr,
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+ "StrippedOptionlet::atmOptionletRates() not implemented for overnight index "
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+ << iborIndex_->name());
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+ for (Size i=0; i<nOptionletDates_; ++i) {
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optionletAtmRates_[i] = iborIndex_->fixing(optionletDates_[i], true);
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+ }
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return optionletAtmRates_;
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}
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