RE: Least Square MonteCarlo in Daily Rang e Accrual

[Perissin Francesco]

Hi Le
the easiest way to price such product is using a tree, and thanks to Quantlib I am successfully pricing, managing and trading callable range notes and other callable products since last year.

The only thing you have to do is to write the pricing code (on the tree) for the digital options embedded in the structure, then sum them up and apply the exercise conditions as already done in the swaptionpricer class.

Unfortunately, I cannot show you this code for the time being: so, good luck!

Francesco

-----Original Message-----
From: LE Ruiqi [[hidden email]]
Sent: venerdì, 21 maggio 2004 04:58
To: [hidden email]
Subject: [Quantlib-users] Least Square MonteCarlo in Daily Range Accrual

Hi All
Recently days, I am to price the daily range accrual with early terminatin clause, since it is pathdependent with bermudan feature, it should be priced using the Least Square MonteCarlo, but unfortunately I found that the quantlib file for least square method only applies to stock derivatives, not IR derivatives. Am I right? Is there anyone can tell me how to implement the coding for IR derivatives using the Least Square method? Thx a lot Best

Le

N¬HS^µéšŠX¬²š'²ŠÞu¼Ž­§%{] ë\z»b~'¢{az-µë-¶§ëÞ®Ú!ŠÛazf«‘ëN­§%{] M©js«iÉ^×H•«,žŒÜ–X"½ì¨ºØ^{¦†Ûiÿö²‹Ê&ý§bw}xõ©e¡Èó^º¢–'B槶X›ºÇ«²f¢–)à–+-B槶X›ºÇ«²X¬¶Ë(º·~Šàzw­†Ûi³ÿåŠËl²‹«qçè® §zßåŠËlþX¬¶)ߣú®j{e‰»¬

############################### DISCLAIMER #################################

This message (including any attachments) is confidential and may be
privileged. If you have received it by mistake please notify the sender by
return e-mail and delete this message from your system. Any unauthorised
use or dissemination of this message in whole or in part is strictly
prohibited. Please note that e-mails are susceptible to change. Banca del
Gottardo (including its group companies) shall not be liable for the
improper or incomplete transmission of the information contained in this
communication nor for any delay in its receipt or damage to your system.
Banca del Gottardo (or its group companies) does not guarantee that the
integrity of this communication has been maintained nor that this
communication is free of viruses, interceptions or interference.

############################################################################

[LE Ruiqi]



Hi Francesco,

Thx very much!

Yes, the daily range accrual note can be seen as  series of digital option, so we can price it in a tree framework,

and the callable feature can be seen as bermudan swaption, but note that it is callable range note,

so the swaption embedded is a swaption in which the fixed coupon leg is unknow at first, that is the fixed coupon leg

on the swaption is path dependent,we should monte carlo the 6month Libor rate, and determine the fixed coupon leg latter,

how can it be priced in the swaptionpricer class?

Attached you can find the concrete terms for the daily range accrual swap.

 

 

Best

Le

 

-----原始邮件-----
发件人: Perissin Francesco [mailto:[hidden email]]
发送时间: 2004年5月21日 15:02
收件人: 'LE Ruiqi'; '[hidden email]'
主题: RE: [Quantlib-users] Least Square MonteCarlo in Daily Range Accrual

Hi Le
the easiest way to price such product is using a tree, and thanks to Quantlib I am successfully pricing, managing and trading callable range notes and other callable products since last year.

The only thing you have to do is to write the pricing code (on the tree) for the digital options embedded in the structure, then sum them up and apply the exercise conditions as already done in the swaptionpricer class.

Unfortunately, I cannot show you this code for the time being: so, good luck!

Francesco

-----Original Message-----
From: LE Ruiqi [[hidden email]]
Sent: venerdì, 21 maggio 2004 04:58
To: [hidden email]
Subject: [Quantlib-users] Least Square MonteCarlo in Daily Range Accrual

Hi All
Recently days, I am to price the daily range accrual with early terminatin clause, since it is pathdependent with bermudan feature, it should be priced using the Least Square MonteCarlo, but unfortunately I found that the quantlib file for least square method only applies to stock derivatives, not IR derivatives. Am I right? Is there anyone can tell me how to implement the coding for IR derivatives using the Least Square method? Thx a lot Best

Le

N¬HS^µéšŠX¬²š'²ŠÞu¼Ž­§%{] ë\z»b~'¢{az-µë-¶§ëÞ®Ú!ŠÛazf«‘ëN­§%{] M©js«iÉ^×H•«,žŒÜ–X"½ì¨ºØ^{¦†Ûiÿö²‹Ê&ý§bw}xõ©e¡Èó^º¢–'B槶X›ºÇ«²f¢–)à–+-B槶X›ºÇ«²X¬¶Ë(º·~Šàzw­†Ûi³ÿåŠËl²‹«qçè® §zßåŠËlþX¬¶)ߣú®j{e‰»¬

############################### DISCLAIMER #################################

This message (including any attachments) is confidential and may be
privileged. If you have received it by mistake please notify the sender by
return e-mail and delete this message from your system. Any unauthorised
use or dissemination of this message in whole or in part is strictly
prohibited. Please note that e-mails are susceptible to change. Banca del
Gottardo (including its group companies) shall not be liable for the
improper or incomplete transmission of the information contained in this
communication nor for any delay in its receipt or damage to your system.
Banca del Gottardo (or its group companies) does not guarantee that the
integrity of this communication has been maintained nor that this
communication is free of viruses, interceptions or interference.

############################################################################

[LE Ruiqi]



Hi Francesco,

Thx very much!

Yes, the daily range accrual note can be seen as  series of digital option, so we can price it in a tree framework,

and the callable feature can be seen as bermudan swaption, but note that it is callable range note,

so the swaption embedded is a swaption in which the fixed coupon leg is unknow at first, that is the fixed coupon leg

on the swaption is path dependent,we should monte carlo the 6month Libor rate, and determine the fixed coupon leg latter,

how can it be priced in the swaptionpricer class?

Attached you can find the concrete terms for the daily range accrual swap.

 

 

Best

Le

 

-----原始邮件-----
发件人: Perissin Francesco [mailto:[hidden email]]
发送时间: 2004年5月21日 15:02
收件人: 'LE Ruiqi'; '[hidden email]'
主题: RE: [Quantlib-users] Least Square MonteCarlo in Daily Range Accrual

Hi Le
the easiest way to price such product is using a tree, and thanks to Quantlib I am successfully pricing, managing and trading callable range notes and other callable products since last year.

The only thing you have to do is to write the pricing code (on the tree) for the digital options embedded in the structure, then sum them up and apply the exercise conditions as already done in the swaptionpricer class.

Unfortunately, I cannot show you this code for the time being: so, good luck!

Francesco

-----Original Message-----
From: LE Ruiqi [[hidden email]]
Sent: venerdì, 21 maggio 2004 04:58
To: [hidden email]
Subject: [Quantlib-users] Least Square MonteCarlo in Daily Range Accrual

Hi All
Recently days, I am to price the daily range accrual with early terminatin clause, since it is pathdependent with bermudan feature, it should be priced using the Least Square MonteCarlo, but unfortunately I found that the quantlib file for least square method only applies to stock derivatives, not IR derivatives. Am I right? Is there anyone can tell me how to implement the coding for IR derivatives using the Least Square method? Thx a lot Best

Le

N¬HS^µéšŠX¬²š'²ŠÞu¼Ž­§%{] ë\z»b~'¢{az-µë-¶§ëÞ®Ú!ŠÛazf«‘ëN­§%{] M©js«iÉ^×H•«,žŒÜ–X"½ì¨ºØ^{¦†Ûiÿö²‹Ê&ý§bw}xõ©e¡Èó^º¢–'B槶X›ºÇ«²f¢–)à–+-B槶X›ºÇ«²X¬¶Ë(º·~Šàzw­†Ûi³ÿåŠËl²‹«qçè® §zßåŠËlþX¬¶)ߣú®j{e‰»¬

############################### DISCLAIMER #################################

This message (including any attachments) is confidential and may be
privileged. If you have received it by mistake please notify the sender by
return e-mail and delete this message from your system. Any unauthorised
use or dissemination of this message in whole or in part is strictly
prohibited. Please note that e-mails are susceptible to change. Banca del
Gottardo (including its group companies) shall not be liable for the
improper or incomplete transmission of the information contained in this
communication nor for any delay in its receipt or damage to your system.
Banca del Gottardo (or its group companies) does not guarantee that the
integrity of this communication has been maintained nor that this
communication is free of viruses, interceptions or interference.

############################################################################