OptionletStripper1 doesn't allow dual-discount.
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OptionletStripper1 doesn't allow dual-discount.
 
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Re: OptionletStripper1 doesn't allow dual-discount.
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Hi James,
I think this is easy to do (your first wish). Can you try the attached extended files ? Thank you Peter Am 12.02.2013 17:34, schrieb James Prichard: > Hi QL guys, thanks for nice library. > > I am using the CapFloor object's implied vol functionality with a dual-discount > set-up via QuantLibXL and noticed that OptionletStripper1 can't be made to > reproduce the prices since it assumes discounting flat to the index. > > MULTI_CURVE .. > Do you foresee building Multi-Curve framework into the Engine or ensuring all > utility functions allow for such an adjustment? > It is not hard to work-around but I think a consistent approach to discounting > would help usability for deterministic cross-currency products as well (put the > xcy-basis into the foreign discount curve, leaving the foreign rate projection > unchanged) > > ANOTHER WISH .. > It would also be nice to have scenario based cashflow projections to feed into a > "Counterparty CVA" / "Collateral Cost" / "Funding Replacement Risk" price > adjustment via montecarlo. I notice quaternionrisk.com say they extended > QuantLib and provide such services already but see little other discussion. > > ----------- > > shared_ptr<BlackCapFloorEngine> > dummy(new BlackCapFloorEngine( > iborIndex_->forwardingTermStructure(),0.20, dc > )); > > for (Size i=0; i<nOptionletTenors_; ++i) > { > CapFloor temp = MakeCapFloor(CapFloor::Cap, > capFloorLengths_[i], > iborIndex_,0.04, // dummy strike > 0*Days).withPricingEngine(dummy); > ... > > > ------------------------------------------------------------------------------ > Free Next-Gen Firewall Hardware Offer > Buy your Sophos next-gen firewall before the end March 2013 > and get the hardware for free! Learn more. > http://p.sf.net/sfu/sophos-d2d-feb > _______________________________________________ > QuantLib-users mailing list > [hidden email] > https://lists.sourceforge.net/lists/listinfo/quantlib-users ------------------------------------------------------------------------------ The Go Parallel Website, sponsored by Intel - in partnership with Geeknet, is your hub for all things parallel software development, from weekly thought leadership blogs to news, videos, case studies, tutorials, tech docs, whitepapers, evaluation guides, and opinion stories. Check out the most recent posts - join the conversation now. http://goparallel.sourceforge.net/ _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users  optionletstripper.cpp (5K) Download Attachment optionletstripper.hpp (3K) Download Attachment optionletstripper1.cpp (8K) Download Attachment optionletstripper1.hpp (2K) Download Attachment |
Fwd: Re: OptionletStripper1 doesn't allow dual-discount.
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sorry, optionletstirpper.hpp had a bug, here is the corrected
version.
Peter -------- Original-Nachricht --------
Hi James,
I think this is easy to do (your first wish). Can you try the attached
extended files ?
Thank you
Peter
Am 12.02.2013 17:34, schrieb James Prichard:
> Hi QL guys, thanks for nice library.
>
> I am using the CapFloor object's implied vol functionality with a dual-discount
> set-up via QuantLibXL and noticed that OptionletStripper1 can't be made to
> reproduce the prices since it assumes discounting flat to the index.
>
> MULTI_CURVE ..
> Do you foresee building Multi-Curve framework into the Engine or ensuring all
> utility functions allow for such an adjustment?
> It is not hard to work-around but I think a consistent approach to discounting
> would help usability for deterministic cross-currency products as well (put the
> xcy-basis into the foreign discount curve, leaving the foreign rate projection
> unchanged)
>
> ANOTHER WISH ..
> It would also be nice to have scenario based cashflow projections to feed into a
> "Counterparty CVA" / "Collateral Cost" / "Funding Replacement Risk" price
> adjustment via montecarlo. I notice quaternionrisk.com say they extended
> QuantLib and provide such services already but see little other discussion.
>
> -----------
>
> shared_ptr<BlackCapFloorEngine>
> dummy(new BlackCapFloorEngine(
> iborIndex_->forwardingTermStructure(),0.20, dc
> ));
>
> for (Size i=0; i<nOptionletTenors_; ++i)
> {
> CapFloor temp = MakeCapFloor(CapFloor::Cap,
> capFloorLengths_[i],
> iborIndex_,0.04, // dummy strike
> 0*Days).withPricingEngine(dummy);
> ...
>
>
> ------------------------------------------------------------------------------
> Free Next-Gen Firewall Hardware Offer
> Buy your Sophos next-gen firewall before the end March 2013
> and get the hardware for free! Learn more.
> http://p.sf.net/sfu/sophos-d2d-feb
> _______________________________________________
> QuantLib-users mailing list
> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
------------------------------------------------------------------------------ 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_feb _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users optionletstripper.cpp (5K) Download Attachment optionletstripper.hpp (3K) Download Attachment optionletstripper1.cpp (8K) Download Attachment optionletstripper1.hpp (2K) Download Attachment |
Re: Fwd: Re: OptionletStripper1 doesn't allow dual-discount.
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