quantlib-dev

[Quantlib-dev] swaptionVolCube2 bug

[petercaspers <pet...@ar...>]

Hi, I think in swaptionVolCube2.cpp, line 70 (QL 0.9.0) is a bug:

Period swapTenor( ... rounder(swapLength/12.0) , Months)

must be

Period swapTenor( ... rounder(swapLength*12.0) , Months)

?

Regards, Peter



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Re: [Quantlib-dev] swaptionVolCube2 bug

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

On Fri, Aug 15, 2008 at 3:17 PM, petercaspers <pet...@ar...> wrote:
> Hi, I think in swaptionVolCube2.cpp, line 70 (QL 0.9.0) is a bug:
>
> Period swapTenor( ... rounder(swapLength/12.0) , Months)
>
> must be
>
> Period swapTenor( ... rounder(swapLength*12.0) , Months)

yes, you're right. I'll fix on the trunk shortly

We probably didn't catch it before because
smileSectionImpl(const Date& optionDate, const Period& swapTenor) const
is used much more than
smileSectionImpl(Time optionTime, Time swapLength) const

thank you

ciao -- Nando