Hybrid Heston Hull White test

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Hybrid Heston Hull White test

igitur
Hi,


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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Re: Hybrid Heston Hull White test

Klaus Spanderen-2

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




------------------------------------------------------------------------------
Mobile security can be enabling, not merely restricting. Employees who
bring their own devices (BYOD) to work are irked by the imposition of MDM
restrictions. Mobile Device Manager Plus allows you to control only the
apps on BYO-devices by containerizing them, leaving personal data untouched!
https://ad.doubleclick.net/ddm/clk/304595813;131938128;j
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