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init isStrikeIndependent_ #834

Merged
merged 1 commit into from
Jun 11, 2020
Merged

init isStrikeIndependent_ #834

merged 1 commit into from
Jun 11, 2020

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pcaspers
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@pcaspers pcaspers commented Jun 9, 2020 •
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I noticed this when using GeneralizedBlackScholesProcess with an externally given local vol ts: Since isStrikeIndependent_ was true in my case, mc simulation results based on evolve() looked wrong.

@lballabio lballabio added this to the 1.19 release milestone Jun 9, 2020
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Coverage Status

Coverage remained the same at 71.076% when pulling d0534c6 on pcaspers:fixBsProcessWithExternalLocalVol into b05e391 on lballabio:master.

@lballabio lballabio merged commit e6e81b2 into lballabio:master Jun 11, 2020
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