Re: [Quantlib-dev] Marketmodel AbcdVol

[Ferdinando A. <na...@am...>]

Hi Peter

> [...] the particular choice of the evolutionTimes grid being
> strictly finer than the rateTimes grid (which is equal to the correlation
> times grid coming from a TimeHomogeneousForwardCorrelation). This case is in
> my opinion not handled correctly when computing the covariance matrices for
> the evolution steps in the constructor of AbcdVol.

yes, you're right: I've just committed your bug-fix to both AbcdVol
and FlatVol (which was affected too).
Thank you and sorry it took so long.

Any chance you might contribute a unit test to avoid regressions? I am
thinking about a simple flat vol (and degenerate abcd vol with
a=b=c=0.0) test case where for N evolution times there are 1, N, 2N,
2N+1 correlation matrices, checking that total variances are correct

ciao -- Nando