R: Re: caplet stripper extrapolation problems

the only curve that I used is the iYieldTS and I 've enabled the extrapolation
on that as well, but the problem is still there.

>----Messaggio originale----
>Da: [hidden email]
>Data: 28/09/2010 15.11
>A: "[hidden email]"<[hidden email]>
>Cc: <[hidden email]>
>Ogg: Re: [Quantlib-users] caplet stripper extrapolation problems
>
>Do you have other curves around that the call to volatility() might use?
>(e.g., iYieldTS.)  You might want to enable extrapolation on those, too.
>
>Luigi
>
>
>On Tue, 2010-09-28 at 14:38 +0200, [hidden email] wrote:
>> I have created correctly an optionlet volatility structure and enabled

the
>> extrapolation as follow
>>
>> .......
>> boost::shared_ptr<IborIndex> EuriborIndex6M(new Euribor6M(iYieldTS));
>> boost::shared_ptr<OptionletStripper1> capletStripper1(new
OptionletStripper1
>> (iCapVolSurface, EuriborIndex6M, Null<Rate>(),
                               
>> 1.0e-8));
>> boost::shared_ptr<OptionletStripper> capletStripper2(new
OptionletStripper2

>> (capletStripper1,iATMCapVolCurve));
>> boost::shared_ptr<StrippedOptionletAdapter> strippedCapletAdapter(new
>> StrippedOptionletAdapter(capletStripper2));
>> Handle<OptionletVolatilityStructure> sigma_caplet(strippedCapletAdapter);
>> sigma_caplet->enableExtrapolation();
>>
>> but when I try to compute the caplet vol:
>> sigma_caplet->volatility(1.05, 0.02)
>>
>> it returns the followinig error:
>> time(29.5178) is past max curve time (29.5151)
>>
>> any suggestion to solve this?
>>
>> Thanks in advance
>> Paolo
>>
>>

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>
>
>--
>
>Hanlon's Razor:
>Never attribute to malice that which is adequately explained
>by stupidity.
>
>
>

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[Luigi Ballabio]

On Tue, 2010-09-28 at 15:42 +0200, [hidden email] wrote:
> the only curve that I used is the iYieldTS and I 've enabled the extrapolation
> on that as well, but the problem is still there.

How about iCapVolSurface and iATMCapVolCurve?

Luigi

P.S. Also, if everything else fails, you might compile the library in
debug mode and step into the code to see where it fails exactly.

> >----Messaggio originale----
> >Da: [hidden email]
> >Data: 28/09/2010 15.11
> >A: "[hidden email]"<[hidden email]>
> >Cc: <[hidden email]>
> >Ogg: Re: [Quantlib-users] caplet stripper extrapolation problems
> >
> >Do you have other curves around that the call to volatility() might use?
> >(e.g., iYieldTS.)  You might want to enable extrapolation on those, too.
> >
> >Luigi
> >
> >
> >On Tue, 2010-09-28 at 14:38 +0200, [hidden email] wrote:
> >> I have created correctly an optionlet volatility structure and enabled
> the
> >> extrapolation as follow
> >>
> >> .......
> >> boost::shared_ptr<IborIndex> EuriborIndex6M(new Euribor6M(iYieldTS));
> >> boost::shared_ptr<OptionletStripper1> capletStripper1(new
> OptionletStripper1
> >> (iCapVolSurface, EuriborIndex6M, Null<Rate>(),
>
> >> 1.0e-8));
> >> boost::shared_ptr<OptionletStripper> capletStripper2(new
> OptionletStripper2
> >> (capletStripper1,iATMCapVolCurve));
> >> boost::shared_ptr<StrippedOptionletAdapter> strippedCapletAdapter(new
> >> StrippedOptionletAdapter(capletStripper2));
> >> Handle<OptionletVolatilityStructure> sigma_caplet(strippedCapletAdapter);
> >> sigma_caplet->enableExtrapolation();
> >>
> >> but when I try to compute the caplet vol:
> >> sigma_caplet->volatility(1.05, 0.02)
> >>
> >> it returns the followinig error:
> >> time(29.5178) is past max curve time (29.5151)
> >>
> >> any suggestion to solve this?
> >>
> >> Thanks in advance
> >> Paolo
> >>
> >>
> ------------------------------------------------------------------------------
> >> Start uncovering the many advantages of virtual appliances
> >> and start using them to simplify application deployment and
> >> accelerate your shift to cloud computing.
> >> http://p.sf.net/sfu/novell-sfdev2dev
> >> _______________________________________________
> >> QuantLib-users mailing list
> >> [hidden email]
> >> https://lists.sourceforge.net/lists/listinfo/quantlib-users
> >
> >
> >--
> >
> >Hanlon's Razor:
> >Never attribute to malice that which is adequately explained
> >by stupidity.
> >
> >
> >
>
>

--

When all else fails, pour a pint of Guinness in the gas tank,
advance the spark 20 degrees, cry "God Save the Queen!", and pull
the starter knob.
-- MG "Series MGA" Workshop Manual



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