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paolo baroni

CMS

Hi, I'm trying to compute a CMS coupon but I'm not sure which function I've to use.

For testing purpose I'd like to see the forward swap rate without adjustment and then add the adjustment.

Can someone show me the right direction?

Thanks

Paolo

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Peter Caspers-4

Re: CMS

Hi Paolo,

the relevant coupon classes are CmsCoupon and CappedFlooredCmsCoupon
(you can also construct a whole series of coupons with the CmsLeg
helper class).

You would have to attach a pricer next, which can be one of
AnalyticHaganPricer, NumericHaganPricer, LinearTsrPricer (I think that
is what is currently available).

The forward swap rate can be retrieved from the coupon via
indexFixing(), the adjusted fixing via adjustedFixing().

Best Regards
Peter

On 14 April 2014 18:15, Paolo Baroni <[hidden email]> wrote:

> Hi, I'm trying to compute a CMS coupon but I'm not sure which function I've
> to use.
> For testing purpose I'd like to see the forward swap rate without adjustment
> and then add the adjustment.
>
> Can someone show me the right direction?
>
> Thanks
>
> Paolo
>
> ------------------------------------------------------------------------------
> Learn Graph Databases - Download FREE O'Reilly Book
> "Graph Databases" is the definitive new guide to graph databases and their
> applications. Written by three acclaimed leaders in the field,
> this first edition is now available. Download your free book today!
> http://p.sf.net/sfu/NeoTech
> _______________________________________________
> QuantLib-users mailing list
> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>

paolo baroni

Re: CMS

Thanks Peter!

I'll try it and I'll give you a feedback.

Ciao

2014-04-15 11:29 GMT+02:00 Peter Caspers <[hidden email]>:

Hi Paolo,

the relevant coupon classes are CmsCoupon and CappedFlooredCmsCoupon
(you can also construct a whole series of coupons with the CmsLeg
helper class).

You would have to attach a pricer next, which can be one of
AnalyticHaganPricer, NumericHaganPricer, LinearTsrPricer (I think that
is what is currently available).

The forward swap rate can be retrieved from the coupon via
indexFixing(), the adjusted fixing via adjustedFixing().

Best Regards
Peter

On 14 April 2014 18:15, Paolo Baroni <[hidden email]> wrote:
> Hi, I'm trying to compute a CMS coupon but I'm not sure which function I've
> to use.
> For testing purpose I'd like to see the forward swap rate without adjustment
> and then add the adjustment.
>
> Can someone show me the right direction?
>
> Thanks
>
> Paolo
>

> ------------------------------------------------------------------------------
> Learn Graph Databases - Download FREE O'Reilly Book
> "Graph Databases" is the definitive new guide to graph databases and their
> applications. Written by three acclaimed leaders in the field,
> this first edition is now available. Download your free book today!
> http://p.sf.net/sfu/NeoTech
> _______________________________________________
> QuantLib-users mailing list
> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>