Re: Hybrid Heston Hull White test

Posted by Klaus Spanderen-2 on May 20, 2016; 6:50pm
URL: http://quantlib.414.s1.nabble.com/Hybrid-Heston-Hull-White-test-tp17465p17469.html

Hi,

 

well spotted. Line 708ff must be a left-over from some testing, Essentially 703ff and 708ff are doing the same thing because the schedule has a yearly reset frequency. I'd recommend to delete 708ff and not the transform statement.

 

https://github.com/lballabio/QuantLib/pull/93

 

thanks

Klaus

 

 

On Friday, May 20, 2016 12:20:56 PM Francois Botha wrote:

Hi,

I'm looking at https://github.com/lballabio/QuantLib/blob/master/test-suite/hybridhestonhullwhiteprocess.cpp#L708

I'm trying to understand the purpose of that line. Just before that (line 703) the transform() function populates the times variable with year fractions from the input schedule. Then line 708 just sets the times equal to the indexes of the vector. I'm unsure whether this is intended or a bug, but currently the test passes.

thanks

Francois Botha

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