Fix for period premia

cetusfinance · Jul 2, 2024 · bd1da07 · bd1da07
1 parent 000487c
commit bd1da07
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Showing 2 changed files with 2 additions and 2 deletions.
diff --git a/src/Qwack.Dates/DateExtensions.cs b/src/Qwack.Dates/DateExtensions.cs
@@ -653,7 +653,7 @@ public static (DateTime Start, DateTime End) ParsePeriod(this string period)
                     return (Start: new DateTime(dm.Year, dm.Month, 1), End: new DateTime(dm.Year, dm.Month, 1).LastDayOfMonth());
                 case string p when Months.Contains(p): //Jun
                     var mx = Array.IndexOf(Months, p) + 1;
-                    var yx = DateTime.Today.Month >= mx ? DateTime.Today.Year : DateTime.Today.Year + 1; 
+                    var yx = DateTime.Today.Month >= mx ? DateTime.Today.Year : (DateTime.Today.Year + 1); 
                     return (Start: new DateTime(yx, mx, 1), End: new DateTime(yx, mx, 1).LastDayOfMonth()); 
                 case string p when p.Length == 2 && int.TryParse(p.Substring(1, 1), out var yr) && FutureMonths.Contains(p.Substring(0, 1)): //X8
                     var m1 = Array.IndexOf(FutureMonths, p.Substring(0, 1)) + 1;

diff --git a/src/Qwack.Paths/Payoffs/MultiPeriodBackPricingOptionPP.cs b/src/Qwack.Paths/Payoffs/MultiPeriodBackPricingOptionPP.cs
@@ -273,7 +273,7 @@ public void Process(IPathBlock block)
                             setReg[i] = spotAtExpiry[i] * _expiryToSettleCarry;
                         }
                         var futVec = new Vector<double>(futSum);
-                        avgs[a] = (futVec + pastSum) / nTotalVec[a];
+                        avgs[a] = (futVec + pastSum) / nTotalVec[a] + new Vector<double>(_periodPremia[a]);
                     }
                     else
                     {