Step Dates

Key Step Dates in GSR Model refers to the 1D-array of dates defining the timegrid of the piecewise constant volatility parameter Vols and the reversion parameter Reversions
It is sensible that the dates here are chosen so that they coincide with dates associated with the cash flows of the calibration instruments
The number of dates must be N - 1, where N is the number of vols in Vols
In the special case where N = 1, the number of dates should be 0.

Note that calibration may fail if the number of vols defined in Vols exceed the number of calibration instruments, so make sure that the number of dates here is less than the number of calibration instruments.
The reason for that potential failure is that if C is the number of calibration instruments, the calibration routine involves only the first C of the vols defined in Vols and thus only the first C - 1 of the dates here.