Skip to content

Commit 3649ef2

Browse files
pcaspersjenkins
authored andcommitted
QPR-11772 fix criterion
1 parent c096490 commit 3649ef2

1 file changed

Lines changed: 2 additions & 2 deletions

File tree

QuantExt/qle/termstructures/proxyoptionletvolatility.cpp

Lines changed: 2 additions & 2 deletions
Original file line numberDiff line numberDiff line change
@@ -54,10 +54,10 @@ ProxyOptionletVolatility::ProxyOptionletVolatility(const Handle<OptionletVolatil
5454

5555
QL_REQUIRE(baseIndex != nullptr, "ProxyOptionletVolatility: no base index given.");
5656
QL_REQUIRE(targetIndex != nullptr, "ProxyOptionletVolatility: no target index given.");
57-
QL_REQUIRE(isOis(targetIndex_) || isBMA(targetIndex) || targetRateComputationPeriod != 0 * Days,
57+
QL_REQUIRE((!isOis(targetIndex_) && !isBMA(targetIndex)) || targetRateComputationPeriod != 0 * Days,
5858
"ProxyOptionletVolatility: target index is OIS or BMA/SIFMA ("
5959
<< targetIndex->name() << "), so targetRateComputationPeriod must be given and != 0D.");
60-
QL_REQUIRE(isOis(baseIndex_) || isBMA(baseIndex_) || baseRateComputationPeriod != 0 * Days,
60+
QL_REQUIRE((!isOis(baseIndex_) && !isBMA(baseIndex_)) || baseRateComputationPeriod != 0 * Days,
6161
"ProxyOptionletVolatility: base index is OIS or BMA/SIFMA ("
6262
<< baseIndex->name() << "), so baseRateComputationPeriod must be given and != 0D.");
6363
registerWith(baseVol_);

0 commit comments

Comments
 (0)