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pcaspersjenkins
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QPR-11618 fix
1 parent f90c364 commit a0eacbb

2 files changed

Lines changed: 2 additions & 3 deletions

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QuantExt/qle/models/lgmfdsolver.cpp

Lines changed: 1 addition & 1 deletion
Original file line numberDiff line numberDiff line change
@@ -45,7 +45,7 @@ RandomVariable LgmFdSolver::stateGrid() const { return mesherLocations_; }
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const boost::shared_ptr<LinearGaussMarkovModel>& LgmFdSolver::model() const { return model_; }
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48-
RandomVariable LgmFdSolver::rollback(const RandomVariable& v, const Real t1, const Real t0, const Size steps) const {
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RandomVariable LgmFdSolver::rollback(const RandomVariable& v, const Real t1, const Real t0, Size steps) const {
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if (steps == Null<Size>())
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steps = std::max<Size>(1, static_cast<Size>(static_cast<double>(timeStepsPerYear_) * (t1 - t0) + 0.5));
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Array workingArray(v.size());

QuantExt/qle/models/lgmfdsolver.hpp

Lines changed: 1 addition & 2 deletions
Original file line numberDiff line numberDiff line change
@@ -46,8 +46,7 @@ class LgmFdSolver {
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/* roll back an deflated NPV array from t1 to t0 using the given number of steps or,
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if that is not given, the time steps per year specified in the constructor */
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RandomVariable rollback(const RandomVariable& v, const Real t1, const Real t0,
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const Size steps = Null<Size>()) const;
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RandomVariable rollback(const RandomVariable& v, const Real t1, const Real t0, Size steps = Null<Size>()) const;
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/* the underlying model */
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const boost::shared_ptr<LinearGaussMarkovModel>& model() const;

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