Error "irregular fixings not (yet) supported" in LMM calibration with CapHelpers

[luca ferraro-2]

I already posted a similar message using gmane, but it seems that it was
lost. In case, sorry for the duplication ...

I'm playing with the QL LMM framework, trying to reproduce the Black
price of a vanilla european swaption. I use the LMM example in the
test-suite directory as a guide.

The problem comes during LMM calibration with CapHelpers (using ATM CAPS
taken from market quotes  for 1Y, 2Y, ... , 10Y, 12Y, 15Y, 20Y for a LMM
tenor based on a EURIBOR 6M index) I got the following error "irregular
fixings not (yet) supported".

Using the debugger, I see that the problem is in the
LiborForwardModel::discountBondOption on the QL_REQURE:

    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(),
            "irregular fixings are not (yet) supported");

What I understand is that the maturity of caplets should be close enough
to index tenor fixings, is it right? How can I do that?

In the test-suite example a termstructure is build with a reference date
different from todays date (evaluation date), but in my code I already
build a termstructure (bootstrapping with calibration helpers) that
starts at todays date. Any help please?

thank you in advance,

luca

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   Luca Ferraro
   Gruppo Scienze dei Materiali
   CASPUR (Consorzio per le Applicazioni di
   Supercalcolo Per Università e Ricerca)
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[Klaus Spanderen-2]

Hi Luca



On Wednesday 01 October 2008 11:00:11 luca ferraro wrote:
>
> The problem comes during LMM calibration with CapHelpers (using ATM CAPS
> taken from market quotes  for 1Y, 2Y, ... , 10Y, 12Y, 15Y, 20Y for a LMM
> tenor based on a EURIBOR 6M index) I got the following error "irregular
> fixings not (yet) supported".
>
> What I understand is that the maturity of caplets should be close enough
> to index tenor fixings, is it right?

yes.

> How can I do that?
>
> In the test-suite example a termstructure is build with a reference date
> different from todays date (evaluation date), but in my code I already
> build a termstructure (bootstrapping with calibration helpers) that
> starts at todays date. Any help please?

Reference date of the term structure used to instantiate the calibraton helper
and the index should be

index->fixingCalendar().advance(todaysDate,
                                                   index->fixingDays(), Days);

I guess the best way to fix it is to roll your bootstrapped curve forward by
index->fixingDays() (or for a quick check generate a second term structure
equal to the first one except that the first date is set to

index->fixingCalendar().advance(todaysDate,
                                                   index->fixingDays(), Days);

instead of today. That the way it is done in the test case.) Please post your
example code if this doesn't help.

best regards
 Klaus

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