In arrears adjustment
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Hi,
I think the in arrears adjustment in couponpricer.cpp is computed slightly wrong. Shouldn't it be like in the adjusted code below? Thanks, Peter ql/cashflows/couponpricer.cpp // see Hull, 4th ed., page 550 QL_REQUIRE(!capletVolatility().empty(), "missing optionlet volatility"); Date d1 = coupon_->fixingDate(), + d2 = coupon_->index()->valueDate(d1), referenceDate = capletVolatility()->referenceDate(); if (d1 <= referenceDate) { adjustement = 0.0; } else { - Date d2 = coupon_->index()->maturityDate(d1); - Time tau = coupon_->index()->dayCounter().yearFraction(d1, d2); + Date d3 = coupon_->index()->maturityDate(d2); + Time tau = coupon_->index()->dayCounter().yearFraction(d2, d3); Real variance = capletVolatility()->blackVariance(d1, fixing); adjustement = fixing*fixing*variance*tau/(1.0+fixing*tau); } ------------------------------------------------------------------------------ LogMeIn Central: Instant, anywhere, Remote PC access and management. Stay in control, update software, and manage PCs from one command center Diagnose problems and improve visibility into emerging IT issues Automate, monitor and manage. Do more in less time with Central http://p.sf.net/sfu/logmein12331_d2d _______________________________________________ QuantLib-dev mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-dev |
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On Sat, Nov 3, 2012 at 2:09 PM, Peter Caspers <[hidden email]> wrote: Hi, ------------------------------------------------------------------------------ LogMeIn Central: Instant, anywhere, Remote PC access and management. Stay in control, update software, and manage PCs from one command center Diagnose problems and improve visibility into emerging IT issues Automate, monitor and manage. Do more in less time with Central http://p.sf.net/sfu/logmein12331_d2d _______________________________________________ QuantLib-dev mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-dev |
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In reply to this post by Peter Caspers-4
Hi Peter,
yes, your changes look correct to me. Can anyone else validate them? Ferdinando? Luigi On Sat, Nov 3, 2012 at 7:09 PM, Peter Caspers <[hidden email]> wrote: > Hi, > > I think the in arrears adjustment in couponpricer.cpp is computed > slightly wrong. Shouldn't it be like in the adjusted code below? > > Thanks, Peter > > ql/cashflows/couponpricer.cpp > > // see Hull, 4th ed., page 550 > QL_REQUIRE(!capletVolatility().empty(), > "missing optionlet volatility"); > Date d1 = coupon_->fixingDate(), > + d2 = coupon_->index()->valueDate(d1), > referenceDate = capletVolatility()->referenceDate(); > if (d1 <= referenceDate) { > adjustement = 0.0; > } else { > - Date d2 = coupon_->index()->maturityDate(d1); > - Time tau = > coupon_->index()->dayCounter().yearFraction(d1, d2); > + Date d3 = coupon_->index()->maturityDate(d2); > + Time tau = > coupon_->index()->dayCounter().yearFraction(d2, d3); > Real variance = capletVolatility()->blackVariance(d1, > fixing); > adjustement = fixing*fixing*variance*tau/(1.0+fixing*tau); > } > > > > ------------------------------------------------------------------------------ > LogMeIn Central: Instant, anywhere, Remote PC access and management. > Stay in control, update software, and manage PCs from one command center > Diagnose problems and improve visibility into emerging IT issues > Automate, monitor and manage. Do more in less time with Central > http://p.sf.net/sfu/logmein12331_d2d > _______________________________________________ > QuantLib-dev mailing list > [hidden email] > https://lists.sourceforge.net/lists/listinfo/quantlib-dev ------------------------------------------------------------------------------ Everyone hates slow websites. So do we. Make your web apps faster with AppDynamics Download AppDynamics Lite for free today: http://p.sf.net/sfu/appdyn_d2d_nov _______________________________________________ QuantLib-dev mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-dev |
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In reply to this post by Peter Caspers-4
Peter,
I committed the fix. Thanks for the heads-up. Luigi On Sat, Nov 3, 2012 at 7:09 PM, Peter Caspers <[hidden email]> wrote: > Hi, > > I think the in arrears adjustment in couponpricer.cpp is computed > slightly wrong. Shouldn't it be like in the adjusted code below? > > Thanks, Peter > > ql/cashflows/couponpricer.cpp > > // see Hull, 4th ed., page 550 > QL_REQUIRE(!capletVolatility().empty(), > "missing optionlet volatility"); > Date d1 = coupon_->fixingDate(), > + d2 = coupon_->index()->valueDate(d1), > referenceDate = capletVolatility()->referenceDate(); > if (d1 <= referenceDate) { > adjustement = 0.0; > } else { > - Date d2 = coupon_->index()->maturityDate(d1); > - Time tau = > coupon_->index()->dayCounter().yearFraction(d1, d2); > + Date d3 = coupon_->index()->maturityDate(d2); > + Time tau = > coupon_->index()->dayCounter().yearFraction(d2, d3); > Real variance = capletVolatility()->blackVariance(d1, > fixing); > adjustement = fixing*fixing*variance*tau/(1.0+fixing*tau); > } > > > > ------------------------------------------------------------------------------ > LogMeIn Central: Instant, anywhere, Remote PC access and management. > Stay in control, update software, and manage PCs from one command center > Diagnose problems and improve visibility into emerging IT issues > Automate, monitor and manage. Do more in less time with Central > http://p.sf.net/sfu/logmein12331_d2d > _______________________________________________ > QuantLib-dev mailing list > [hidden email] > https://lists.sourceforge.net/lists/listinfo/quantlib-dev ------------------------------------------------------------------------------ Everyone hates slow websites. So do we. Make your web apps faster with AppDynamics Download AppDynamics Lite for free today: http://p.sf.net/sfu/appdyn_d2d_mar _______________________________________________ QuantLib-dev mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-dev |
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