From: Peter C. <pca...@gm...> - 2013-03-07 16:26:57
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Hi, I guess there is a little bug in swaptionvolcube2.cpp. Starting in line 95 we have return boost::shared_ptr<SmileSection>(new InterpolatedSmileSection<Linear>(optionTime, strikes, stdDevs, atmVol)); but this should be return boost::shared_ptr<SmileSection>(new InterpolatedSmileSection<Linear>(optionTime, strikes, stdDevs, atmForward)); Kind regards Peter |
From: Luigi B. <lui...@gm...> - 2013-03-18 15:19:25
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Peter, it's fixed now. Thanks for the heads-up. Luigi On Thu, Mar 7, 2013 at 5:26 PM, Peter Caspers <pca...@gm...> wrote: > Hi, > > I guess there is a little bug in swaptionvolcube2.cpp. Starting in line 95 > we have > > > return boost::shared_ptr<SmileSection>(new > InterpolatedSmileSection<Linear>(optionTime, > strikes, > stdDevs, > atmVol)); > > but this should be > > return boost::shared_ptr<SmileSection>(new > InterpolatedSmileSection<Linear>(optionTime, > strikes, > stdDevs, > atmForward)); > > Kind regards > Peter > > ------------------------------------------------------------------------------ > Symantec Endpoint Protection 12 positioned as A LEADER in The Forrester > Wave(TM): Endpoint Security, Q1 2013 and "remains a good choice" in the > endpoint security space. For insight on selecting the right partner to > tackle endpoint security challenges, access the full report. > http://p.sf.net/sfu/symantec-dev2dev > _______________________________________________ > QuantLib-dev mailing list > Qua...@li... > https://lists.sourceforge.net/lists/listinfo/quantlib-dev > |