Re: error in the ExtendedCoxIngersollRoss model?

Posted by Sadruddin Rejeb-4 on Apr 29, 2004; 3:25am
URL: http://quantlib.414.s1.nabble.com/error-in-the-ExtendedCoxIngersollRoss-model-tp2929p2930.html

Hello Enrico,

On Wednesday 28 April 2004 08.50, Michelotti Enrico wrote:
> Hello all,
> In this code there is a multiplier factor 2 which shoudn't be there
> (according to Mercurio-Brigo book)
> Am I right?
> Is it enough to correct just in this part of the QuantLib code?
I vaguely remember I had a "factor 2" issue when I wrote this code 2 years
ago. I will take a look at it and try to refresh my memory.

Regards,
Sad