Posted by
Luca Berardi on
Feb 25, 2005; 2:56am
URL: http://quantlib.414.s1.nabble.com/Possible-problem-on-bermuda-swaptions-2-tp3621p3625.html
Hi
I have a question on the new Lattice implementation, regarding the
rollback method:
- in QuantLib 0.3.7 in the implementation of the rollAlmostBack()
method we have the following lines of code:
00082 for (Integer i=iFrom-1; i>=iTo; i--) {
00083 Array newValues(size(i));
00084 stepback(i, asset->values(), newValues);
00085 asset->time() = t_[i];
00086 asset->values() = newValues;
00087 // skip the very last post-adjustment
00088 if (i != iTo)
00089 asset->adjustValues();
00090 else
00091 asset->preAdjustValues();
00092 }
00093 }
- in QuantLib 0.3.8, in the implementation of partialRollBack() -which
replaces rollAlmostBack- we have the following lines of code:
00077 for (Integer i=iFrom-1; i>=iTo; i--) {
00078 Array newValues(size(i));
00079 stepback(i, asset.values(), newValues);
00080 asset.time() = t_[i];
00081 asset.values() = newValues;
00082 // skip the very last adjustment
00083 if (i != iTo)
00084 asset.adjustValues();
00085 }
00086 }
It seems that the 'else' section of code has been thrown away, while
the implementation of the rollBack() method has remained the same
between the two releases.
Is there any particular reason for this? Shouldn't it be a source of
mismatch between the two QuantLib releases?
Ciao,
Luca
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