Re:Question on =

[quantlib=]

>
> Enrico,=0D
=
>
> Thanks for the info.
> I have a better understanding of this now.=0D
=
>
> However it should be noted that anyone passing an in-arrears leg in=
to the
> CapFloor class will
> generate unadjusted premium values.
> =

> Best Regards,
> Toyin Akin.
>
> >From: "enrico.michelotti" <enric=
[hidden email]>
> >To: "quantlib-users" <[hidden email]=
urceforge.net>
> >Subject: Re:[Quantlib-users] Question on Caps/Floors p=
ricing on InArrear
> >cashflows.
> >Date: Tue,  4 Oct 2005 08:22:58 +0=
200
> >
> >The CashFlow vector created with InArrearCoupon is corrected=
,
> >since the InArrear cap/floor resets at the end of each accrual peri=
od when
> >the payment is done (apart for the adjustment of a rolling d=
ate).
> >The only problem is that you cannot anymore use the simple Blac=
k pricing,
> >but you need an adjustmnet for the convexity effect.
> >=
If I do remember well in Brigo-Mercurio you can find such adjustment.
> =
>
> >Enrico
> >---------- Initial Header -----------
> >
> >From     =
 : [hidden email]
> >To          :
> >quan=
[hidden email],[hidden email]
> >C=
c          :
> >Date      : Tue, 04 Oct 2005 07:03:09 +0100
> >Subject =
: [Quantlib-users] Question on Caps/Floors pricing on InArrear
> >cashf=
lows.

> >
> >
> >
> >
> >
> >
> >
> > >
> > > Hi all,
> > >
> =
> > Within Quantlib you can create an array of cashflows which can then b=

e
> > > passed into the CapFloor constructor.
> > >
> > > My question =
is whether the pricing logic within the CapFloor class is
> > > correct =
for InArrear cashflows?
> > >
> > > The CapFloor class takes as it's ex=
ercise date for all the
> > > caplet's/floorlet's the fixing date of the=
 coupon.
> > >
> > > Under a UpFrontIndexedCoupon this would be settleD=
ays before the start
> >date
> > > of the period.
> > > Under an Inar=
rearindexedcoupon this would be settleDays before the end
> >date
> > =
> of the period.
> > >
> > > Thus when pricing a caplet/floorlet which =
is based on an
> > > Inarrearindexedcoupon, should the
> > > exercise d=
ate still be settleDays before the start date of the period?
> > >
> > =
> My guess is that the exercise date should be settleDays before the star=
t
> > > date of the period.
> > >
> > > Best Regards,
> > > Toyin Aki=
n.
> > >
> > >
> > >
> > >
> > > -----------------------------------=
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