Xamit Kadirbekov

FinancePy cash-settled swaption annuity counts N−1 payments instead of N

Independent GERO audit of FinancePy 1.1.2 and master commit 2b9227fea9d832c4033421d6cd53a54316414fca. IborSwap.cash_settled_pv01 skips a real payment when valued on or before its effective date. A single annual payment at 4% returns zero instead of 1/1.04. With N regular payments, the method sums N−1 discount terms. Th...