Peter,
it's fixed now. Thanks for the heads-up.
Luigi
On Thu, Mar 7, 2013 at 5:26 PM, Peter Caspers <
[hidden email]> 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
>
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