Re: Problems using SwaptionVolatilityMatrix class

Posted by Luigi Ballabio-2 on
URL: http://quantlib.414.s1.nabble.com/Problems-using-SwaptionVolatilityMatrix-class-tp2636p2637.html

At 10:53 AM 7/30/03 +0100, Giancarlo Pfeifer wrote:
>Hi, I am trying to use the class
>SwaptionVolatilityMatrix, but I seem to have problems
>with the way tenors are stored and computed.

Giancarlo,
         thanks for reporting the problem---I fixed it in cvs, and now the
matrix will report the correct volatilities when input dates and periods
are passed. Look out for next release in September.

Bye,
         Luigi