Hi,
I was looking at the HaganPricers for CMS pricing.
In the case of analytic pricing of caplets/floorlets, the vol used for the convexity correction seems to be the ATM vol.
Since the implementation follows very closely Hagan's paper, I was expecting some checks for out of money option, and use the vol at the strike, with put-call parity for in the money options.
Was it deliberate to ignore this aspect, or did i miss some point in the code?
Gary
conundrumpricer.cpp, line 454
//Hagan, 3.5b, 3.5c
Real AnalyticHaganPricer::optionletPrice(Option::Type optionType,
Real strike) const {
Real variance = swaptionVolatility()->blackVariance(fixingDate_,
swapTenor_,
swapRateValue_);
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