Re: [Quantlib-dev] Marketmodel AbcdVol

[Luigi B. <lui...@gm...>]

I've added the fix and the tests, thanks.

Luigi

On Sat, Sep 8, 2012 at 3:38 PM, Peter Caspers <pca...@gm...> wrote:
> Hi Nando,
>
> I added a test case to the marketmodel suite.
>
> In fact while doing this I noticed that AbcdFunction::primitive(...) fails
> when c is zero. I fixed that and added another test case covering this.
>
> Peter
>
>
>> 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
>
>
>
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