[Quantlib-dev] [ quantlib-Bugs-2104135 ] HybridHestonHullWhiteProcess -> negative prices for a Call

[SourceForge.net <no...@so...>]

Bugs item #2104135, was opened at 2008-09-10 18:01
Message generated for change (Tracker Item Submitted) made by Item Submitter
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2104135&group_id=12740

Please note that this message will contain a full copy of the comment thread,
including the initial issue submission, for this request,
not just the latest update.
Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Private: No
Submitted By: Nobody/Anonymous (nobody)
Assigned to: Nobody/Anonymous (nobody)
Summary: HybridHestonHullWhiteProcess -> negative prices for a Call

Initial Comment:
I am getting negative prices for a call option (among other calibration problems) in the following example code.  (Almost entirely based on test-suite code.)



----------------------------------------------------------------------

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2104135&group_id=12740