Re: [Quantlib-dev] Hybrid Heston Hull White test

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Hi,

well spotted. Line 708ff must be a left-over from some testing, Essentially 703ff and 
708ff are doing the same thing because the schedule has a yearly reset frequency. I'd 
recommend to delete 708ff and not the transform statement.

https://github.com/lballabio/QuantLib/pull/93

thanks
Klaus

On Friday, May 20, 2016 12:20:56 PM Francois Botha wrote:

Hi,

I'm looking at https://github.com/lballabio/QuantLib/blob/master/test-suite/hybridhestonhullwhiteprocess.cpp#L708[1]

I'm trying to understand the purpose of that line. Just before that (line 703) the 
transform() function populates the times variable with year fractions from the input 
schedule. Then line 708 just sets the times equal to the indexes of the vector. I'm 
unsure whether this is intended or a bug, but currently the test passes.

thanks

Francois Botha

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[1] https://github.com/lballabio/QuantLib/blob/master/test-suite/hybridhestonhullwhiteprocess.cpp#L708