Dears,
I'm playing with the LMM QuantLib framework, starting from the example in the
test-suite directory. I wish to reproduce the Black price of a european swaption
using a LMM calibrated model.
Now, I have market quoted vols for ATM CAPS of lenght 1Y, 2Y, ..., 10Y, 12Y,
15Y, 20Y and somw swaptions. When I build the caphelper, I got the following
error: "Irregular fixings are not (yet) supported".
The problem is in the discountBondOption QL_REQUIRE
QL_REQUIRE( i<process_->size()
&& std::fabs(maturity - accrualStartTimes[i])
< 100*std::numeric_limits<Real>::epsilon()
&& std::fabs(bondMaturity - accrualEndTimes[i])
< 100*std::numeric_limits<Real>::epsilon(), ...
but I don't understand way: seems a "mismatch" in the LMM index fixing times and
cap maturities. Any help please?
Thank you in advance,
luca
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