SwaptionVolCube2 - bug

Posted by Peter Caspers-4 on Mar 07, 2013; 4:26pm
URL: http://quantlib.414.s1.nabble.com/SwaptionVolCube2-bug-tp14105.html

Hi,

 

I guess there is a little bug in swaptionvolcube2.cpp. Starting in line 95 we have

 

 

        return boost::shared_ptr<SmileSection>(new
            InterpolatedSmileSection<Linear>(optionTime,
                                             strikes,
                                             stdDevs,
                                             atmVol));

 

but this should be

 

        return boost::shared_ptr<SmileSection>(new
            InterpolatedSmileSection<Linear>(optionTime,
                                             strikes,
                                             stdDevs,
                                             atmForward));

 

Kind regards

Peter

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