Bugs item #2510431, was opened at 2009-01-15 16:47
Message generated for change (Comment added) made by nobody
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Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Private: No
Submitted By: marcmus (marcmus)
Assigned to: Nobody/Anonymous (nobody)
Summary: QuantLib::CoxIngersollRoss cannot be instantiated
Initial Comment:
An exception was thrown when trying to create the CoxIngersollRoss model.
The debugger stops in CoxingersollRoss::test method.It seems that the exception looks like an IndexOutOfBoundsException (Java).
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Comment By: Nobody/Anonymous (nobody)
Date: 2009-01-23 17:37
Message:
The function CoxIngersollRoss::VolatilityConstraint::test(const Array&
params) in file coxingersollross.cpp is wrongly implemented
(constantparameter has only one parameter).
Anyway I think the class VolatilityConstraint is not necessary. I rather
suggest replacing in the constructor
CoxIngersollRoss::CoxIngersollRoss(Rate r0, Real theta,
Real k, Real sigma)
the line
sigma_ = ConstantParameter(sigma, VolatilityConstraint());
with
sigma_ = ConstantParameter(sigma, BoundaryConstraint(0.0,2.0 * k_
* theta_));
PS: I have just got quantlib so I don't know if I should modify it.
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