Skip to content

Commit ca938dd

Browse files
committed
QPR-13647 discount factor should be 1 on asof
1 parent 8c49eff commit ca938dd

1 file changed

Lines changed: 1 addition & 1 deletion

File tree

OREData/ored/portfolio/cashflowutils.cpp

Lines changed: 1 addition & 1 deletion
Original file line numberDiff line numberDiff line change
@@ -341,7 +341,7 @@ TradeCashflowReportData getCashflowReportData(
341341
if (amount != Null<Real>())
342342
effectiveAmount = amount * multiplier;
343343

344-
discountFactor = ptrFlow->hasOccurred(asof) ? 0.0 : discountCurveCcy->discount(payDate);
344+
discountFactor = payDate < asof ? 0.0 : discountCurveCcy->discount(payDate);
345345
if (effectiveAmount != Null<Real>())
346346
presentValue = discountFactor * effectiveAmount;
347347
try {

0 commit comments

Comments
 (0)