Floating Rate on Trinomial tree

[Kim, Hyung Geun]

Hi,

Sorry, I'm a newbie to Quantlib

[Luigi Ballabio]

On 07/25/2005 07:37:27 AM, Kim, Hyung Geun wrote:
>
> My question is,
> 1. How does quantlib calculate all the floating(like 3M Libor) rate  
> of swap in tree framework?
>     I want to see actual estimated floating rates on each node and  
> how they are calculated.
>     (Swap pricing example via BK(HW) module will be helpful )

There's a DiscretizedSwap class in the library which does this---look  
into ql/PricingEngines/Swaption/discretizedswaption.[hc]pp for details.
(In short, one rolls a unit payoff back over three months and obtains  
the corresponding discount at each node. From there, the Libor is just  
a formula away.)

Later,
        Luigi


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There are two ways of constructing a software design. One way is to  
make it so simple that there are obviously no deficiencies. And the  
other way is to make it so complicated that there are no obvious  
deficiencies.
-- C. A. R. Hoare

[Kim, Hyung Geun]

Luigi wrote:

>On 07/25/2005 07:37:27 AM, Kim, Hyung Geun wrote:
>>
>> My question is,
>> 1. How does quantlib calculate all the floating(like 3M Libor) rate  
>> of swap in tree framework?
>>     I want to see actual estimated floating rates on each node and  
>> how they are calculated.
>>     (Swap pricing example via BK(HW) module will be helpful )
>
>There's a DiscretizedSwap class in the library which does this---look  
>into ql/PricingEngines/Swaption/discretizedswaption.[hc]pp for details.
>(In short, one rolls a unit payoff back over three months and obtains  
>the corresponding discount at each node. From there, the Libor is just  
>a formula away.)

Thank Luigi, I got it.
I thought fixingdays for swap should affect floating Libor rate on tree.

thx
hgkim

[Luigi Ballabio]

On 07/28/2005 09:56:23 AM, Kim, Hyung Geun wrote:
>
> Thank Luigi, I got it.
> I thought fixingdays for swap should affect floating Libor rate on
> tree.

They should, but such effect isn't implemented at this time.
It would make a nice contribution :)

Later,
        Luigi

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If I do not want others to quote me, I do not speak.
-- Phil Wayne