Re: [Quantlib-dev] Binomial Tree Fever

[Toyin A. <toy...@ho...>]

Hi,
=20
Perhaps not.=20
=20
The variance looks like it is divided by the number of steps before it is b=
eing used.
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Whereas in the other cases, the variance for a single dt step is taken and =
used directly.
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Just an observation...
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Toy out.> To: qua...@li...> From: jwm...@ya...>=
 Date: Mon, 27 Aug 2007 13:40:57 +0000> Subject: [Quantlib-dev] Binomial Tr=
ee Fever> > Think I found two errors in the Binomial Tree class. The proble=
ms are in> LeisenReimer:: LeisenReimer and Joshi4::Joshi4. In both construc=
tors the> variance should be > > Real variance =3D process->variance(0.0, x=
0_, dt_);> > Instead of> > Real variance =3D process->variance(0.0, x0_, en=
d);> > > ------------------------------------------------------------------=
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