swaptionVolCube2 bug

Posted by petercaspers on
URL: http://quantlib.414.s1.nabble.com/swaptionVolCube2-bug-tp12188.html

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)

?

Regards, Peter