Bugs item #2824902, was opened at 2009-07-21 19:03
Message generated for change (Comment added) made by sk-77
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Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Private: No
Submitted By: sk77 (sk-77)
Assigned to: Nobody/Anonymous (nobody)
Summary: Dynamics of twofactor modell
Initial Comment:
The method process() in the class TwoFactorModel::ShortRateDynamics fails (if accessed from a G2 model). This causes problems in Monte-Carlo-like applications.
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>Comment By: sk77 (sk-77)
Date: 2009-07-21 19:26
Message:
My solution is to modify the line 55 as follows:
std::vector<boost:shared_ptr<StochasticProcess1D> > processes(2);
Seems to work.
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