Re: Marketmodel AbcdVol

Posted by Peter Caspers-4 on Sep 08, 2012; 1:38pm
URL: http://quantlib.414.s1.nabble.com/Marketmodel-AbcdVol-tp12030p12032.html

Hi Nando,

I added a test case to the marketmodel suite.

In fact while doing this I noticed that AbcdFunction::primitive(...)
fails when c is zero. I fixed that and added another test case covering
this.

Peter

> Hi Peter
>
>> [...] the particular choice of the evolutionTimes grid being
>> strictly finer than the rateTimes grid (which is equal to the correlation
>> times grid coming from a TimeHomogeneousForwardCorrelation). This case is in
>> my opinion not handled correctly when computing the covariance matrices for
>> the evolution steps in the constructor of AbcdVol.
> yes, you're right: I've just committed your bug-fix to both AbcdVol
> and FlatVol (which was affected too).
> Thank you and sorry it took so long.
>
> Any chance you might contribute a unit test to avoid regressions? I am
> thinking about a simple flat vol (and degenerate abcd vol with
> a=b=c=0.0) test case where for N evolution times there are 1, N, 2N,
> 2N+1 correlation matrices, checking that total variances are correct
>
> ciao -- Nando

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