[Quantlib-dev] swaptionVolCube2 bug

[petercaspers <pet...@ar...>]

Hi, I think in swaptionVolCube2.cpp, line 70 (QL 0.9.0) is a bug:

Period swapTenor( ... rounder(swapLength/12.0) , Months)

must be

Period swapTenor( ... rounder(swapLength*12.0) , Months)

?

Regards, Peter



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