[Quantlib-dev] [ quantlib-Bugs-1662397 ] Error in BermudanSwaption Example?

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Bugs item #1662397, was opened at 2007-02-17 17:21
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Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Private: No
Submitted By: Bert (tbms1)
Assigned to: Nobody/Anonymous (nobody)
Summary: Error in BermudanSwaption Example?

Initial Comment:
Hi,
I suppose there could be an error in BermudanSwaption.cpp of the examples (see around lines 175)

        for (i=0; i<numRows; i++) {
            Size j = numCols - i -1; // 1x5, 2x4, 3x3, 4x2, 5x1
//This causes j to have the values: 4,3,2,1,0
//I guess this is not what is supposed to happen when the period is set to 4,3,2,1,0 4 lines below

            Size k = i*numCols + j;
            boost::shared_ptr<Quote> vol(new SimpleQuote(swaptionVols[k]));
            swaptions.push_back(boost::shared_ptr<CalibrationHelper>(new
                SwaptionHelper(swaptionMaturities[i],
                               Period(swapLenghts[j], Years),
                               Handle<Quote>(vol),
                               indexSixMonths,
                               indexSixMonths->tenor(),
                               indexSixMonths->dayCounter(),
                               indexSixMonths->dayCounter(),
                               rhTermStructure)));
            swaptions.back()->addTimesTo(times);
        }



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