The method process() in the class TwoFactorModel::ShortRateDynamics fails (if accessed from a G2 model). This causes problems in Monte-Carlo-like applications.
My solution is to modify the line 55 as follows:
std::vector<boost:shared_ptr<StochasticProcess1D> > processes(2);
Seems to work.
Moved to https://github.com/lballabio/QuantLib/issues/362
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My solution is to modify the line 55 as follows:
std::vector<boost:shared_ptr<StochasticProcess1D> > processes(2);
Seems to work.
Moved to https://github.com/lballabio/QuantLib/issues/362