File tree Expand file tree Collapse file tree
QuantExt/qle/termstructures Expand file tree Collapse file tree Original file line number Diff line number Diff 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_);
You can’t perform that action at this time.
0 commit comments