Re:Question on Caps/Floors pricing on InArrear cashflows.

[enrico.michelotti]

"However it should be noted that anyone passing an in-arrears leg into the
CapFloor class will generate unadjusted premium values."


This is true!
But the BlackCapFloorEngine must be reimplemented to consider the InArrear Case and to add the convexity adjustment to the BS formula.

enrico


---------- Initial Header -----------