On Fri, Aug 15, 2008 at 3:17 PM, petercaspers <
[hidden email]> wrote:
> Hi, I think in swaptionVolCube2.cpp, line 70 (QL 0.9.0) is a bug:
>
> Period swapTenor( ... rounder(swapLength/12.0) , Months)
>
> must be
>
> Period swapTenor( ... rounder(swapLength*12.0) , Months)
yes, you're right. I'll fix on the trunk shortly
We probably didn't catch it before because
smileSectionImpl(const Date& optionDate, const Period& swapTenor) const
is used much more than
smileSectionImpl(Time optionTime, Time swapLength) const
thank you
ciao -- Nando
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