Hi Team,
I have two questions regarding the excel quantlib
add-in:
1) How to price Bermudan Swaptions?
I tried the sample sheet to price an European
Swaption and create a schedule with exercise dates and then run the
NPV function on the Swaption ID but the result turns to be
#NUM.
Any idea why is this so?
2) How to price a cap/floor using a market smile
surface?
I have Reuters vol surface - created a single
handler using the add-in function and using the cap/floor sheet sample, feed
into the pricing of the cap (similar approach as the swaption ATM volatility
sheet) however when I call the NPV function I get #NUM - I found a way around
this but it is to cumbersome, basicly I stripped the cap in caplets one by one
and created an object per caplet in order to get a forward vol for each caplet
but this takes too much memory on my PC and excel takes too long to calculate.
Does anyone know why I get #NUM?
Is there a better way to strip the forward vol
per caplet/floorlet?
Regards
Victor
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