Bugs item #1662397, was opened at 2007-02-17 17:21
Message generated for change (Comment added) made by lballabio
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Category: None
Group: None
>Status: Closed
>Resolution: Invalid
Priority: 5
Private: No
Submitted By: Bert (tbms1)
>Assigned to: Luigi Ballabio (lballabio)
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);
}
----------------------------------------------------------------------
>Comment By: Luigi Ballabio (lballabio)
Date: 2007-11-26 15:31
Message:
Logged In: YES
user_id=75450
Originator: NO
No, this is correct. j is used to index into swapLenghts (defined earlier
in the file) so that for j = { 4,3,2,1,0 } the periods are { 5Y, 4Y, 3Y,
2Y, 1Y }. These combine with the maturities to yield the diagonal of the
swaption matrix.
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Nov 26, 2007; 2:31pm
