Constructor of SwaptionDataLattice always assigning LogNormal fixed
@@ -164,7 +164,7 @@ public class SwaptionDataLattice implements Serializable {
*/
public SwaptionDataLattice(LocalDate referenceDate, QuotingConvention quotingConvention, double displacement, String forwardCurveName, String discountCurveName,
ScheduleMetaData floatMetaSchedule, ScheduleMetaData fixMetaSchedule, double[] maturities, double[] tenors, int[] moneynesss, double[] values) {
- this(referenceDate, QuotingConvention.VOLATILITYLOGNORMAL, displacement, forwardCurveName, discountCurveName, floatMetaSchedule, fixMetaSchedule);
+ this(referenceDate, quotingConvention, displacement, forwardCurveName, discountCurveName, floatMetaSchedule, fixMetaSchedule);
for(int i = 0; i < maturities.length; i++) {
entryMap.put(new DataKey(maturities[i], tenors[i], moneynesss[i]), values[i]);
@@ -187,7 +187,7 @@ public class SwaptionDataLattice implements Serializable {
*/
public SwaptionDataLattice(LocalDate referenceDate, QuotingConvention quotingConvention, double displacement, String forwardCurveName, String discountCurveName,
ScheduleMetaData floatMetaSchedule, ScheduleMetaData fixMetaSchedule, String[] tenorCodes, int[] moneynesss, double[] values) {
- this(referenceDate,QuotingConvention.VOLATILITYLOGNORMAL, displacement, forwardCurveName, discountCurveName, floatMetaSchedule, fixMetaSchedule);
+ this(referenceDate, quotingConvention, displacement, forwardCurveName, discountCurveName, floatMetaSchedule, fixMetaSchedule);
for(int i = 0; i < tenorCodes.length; i++) {
entryMap.put(new DataKey(tenorCodes[i], moneynesss[i]), values[i]);
