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pcaspersjenkins
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QPR-12491 fix
1 parent ef1fd75 commit 9ebd663

1 file changed

Lines changed: 3 additions & 3 deletions

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QuantExt/qle/termstructures/sabrparametricvolatility.cpp

Lines changed: 3 additions & 3 deletions
Original file line numberDiff line numberDiff line change
@@ -538,9 +538,9 @@ void SabrParametricVolatility::calculate() {
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auto nNew = n == 1 ? n + 1 : n;
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auto alphaTmp = alpha_;
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auto betaTmp = alpha_;
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auto nuTmp = alpha_;
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auto rhoTmp = alpha_;
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auto betaTmp = beta_;
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auto nuTmp = nu_;
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auto rhoTmp = rho_;
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auto lognormalShiftTmp = lognormalShift_;
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alpha_ = Matrix(mNew, nNew, Null<Real>());

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