Bugs item #2510431, was opened at 2009-01-15 17:47
Message generated for change (Comment added) made by lballabio
You can respond by visiting:
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2510431&group_id=12740Please note that this message will contain a full copy of the comment thread,
including the initial issue submission, for this request,
not just the latest update.
Category: None
Group: None
>Status: Closed
>Resolution: Fixed
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).
----------------------------------------------------------------------
Comment By: Luigi Ballabio (lballabio)
Date: 2009-01-26 15:49
Message:
The bug is now fixed in the Subversion repository.
Thank you for the report.
----------------------------------------------------------------------
Comment By: Nobody/Anonymous (nobody)
Date: 2009-01-23 18:37
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.
----------------------------------------------------------------------
You can respond by visiting:
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2510431&group_id=12740------------------------------------------------------------------------------
This SF.net email is sponsored by:
SourcForge Community
SourceForge wants to tell your story.
http://p.sf.net/sfu/sf-spreadtheword_______________________________________________
QuantLib-dev mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-dev
Locked
