QlXl - swap in arrears

[Circo Giuseppe (DAM)]

 <<Book2.xls>>

Hi there,

I try to build an in arrears leg, but #N/A appears in leg analysis, do I
have to link any specific model to the pricer engine?

Thank you for your help,
</pre>

------------------------------------------------------------
Dexia disclaimer
<a href="http://www.dexia.com/maildisclaimer.htm" target=_blank>http://www.dexia.com/maildisclaimer.htm</a>
-------------------------------------------------------------
<pre>

------------------------------------------------------------------------------

_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users

[Kim Kuen Tang]

To price an in-arrears swap you need an convexity adjustment. And the
adjustment depends on the observed caplet-volatility surface. It is a
little bit more complicated than a swap.(But still easy enough to price.
:-) )In the test-suite there should be an example.

HTH

Kim

Circo Giuseppe (DAM) schrieb:

>  <<Book2.xls>>
>
> Hi there,
>
> I try to build an in arrears leg, but #N/A appears in leg analysis, do I
> have to link any specific model to the pricer engine?
>
> Thank you for your help,
> </pre>
>
> ------------------------------------------------------------
> Dexia disclaimer
> <a href="http://www.dexia.com/maildisclaimer.htm" target=_blank>http://www.dexia.com/maildisclaimer.htm</a>
> -------------------------------------------------------------
> <pre>
>  
> ------------------------------------------------------------------------
>
> ------------------------------------------------------------------------------
>  
> ------------------------------------------------------------------------
>
> _______________________________________________
> QuantLib-users mailing list
> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>  

------------------------------------------------------------------------------
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users