Re: Confusing behavior from BinomialVanillaEngine constructor

Posted by alex on
URL: http://quantlib.414.s1.nabble.com/Confusing-behavior-from-BinomialVanillaEngine-constructor-tp16382p16383.html

Bug was on my end. Forgot to initialize a value.

Sorry for the spam.

On Wed, Mar 18, 2015 at 11:11 AM, Alexander Lamana <[hidden email]> wrote:

Hi,

For some reason, this line [0] is crashing with a length_error when reserving space for a vector<Time>. I originally thought the error may be originating in the NPV calculation, but the protected timeSteps_ variable in BinomialVanillaEngine is actually not being set to the expected value. 

This method [1] is where the number of time steps is set. Passing in a value of 1025 (or 0 -- the value didn't seem to matter) results in the BinomialVanillaEngine constructor setting timeSteps_ to a number that's about 1.475e19. (This is on a 64-bit machine. Similar behavior occurred when I did a 32-bit build, but I didn't note the values.)

Is this a known bug, or is something going wrong somewhere on my end?

[0] https://gist.github.com/aml3/65038735906fd2b14e1f#file-pricing-cpp-L54

[1] https://gist.github.com/aml3/65038735906fd2b14e1f#file-pricing-cpp-L3

Thanks,

Alex Lamana

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