Lfm HullWhite Parameterization

Posted by François du Vignaud on
URL: http://quantlib.414.s1.nabble.com/Lfm-HullWhite-Parameterization-tp4788.html

Hi all,

 

In the LfmHullWhiteParameterization classe implementation, I don't understand the following line:

lambda.push_back(std::sqrt(  (var - cumVar)
                                       / (fixingTimes[1] - fixingTimes[0])) );

lfmhullwhiteparam.cpp (lines 80, 81)

I'm wondering if it should not be:

lambda.push_back(std::sqrt(  (var - cumVar)
                                       / (fixingTimes[i+1] - fixingTimes[i])) );

Regards,

François

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Date: Wed, 17 May 2006 09:13:03 +0000 (GMT)
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