Source of cached NPV for caps and floors

[Smith, Dale (Norcross)]

Hello,

 

After reading the source for the capfloor.cpp unit test, I realized there is no indication of how the cached values in CapFloorTest::testCachedValue are calculated. Ditto for the other hard-coded values in the other methods. Does anyone know the source for these calculations? I did a Google search to make sure this wasn’t answered already on the mailing list. I can’t find anything relevant, so pointers to any previous message threads are appreciated.

 

Thanks,

Dale Smith, Ph.D.

Senior Financial Quantitative Analyst

Risk & Compliance

Fiserv.

107 Technology Park

Norcross, GA 30092

Office: 678-375-5315

Mobile: [phone]

Mail: [hidden email]

www.fiserv.com

 

------------------------------------------------------------------------------
Keep Your Developer Skills Current with LearnDevNow!
The most comprehensive online learning library for Microsoft developers
is just $99.99! Visual Studio, SharePoint, SQL - plus HTML5, CSS3, MVC3,
Metro Style Apps, more. Free future releases when you subscribe now!
http://p.sf.net/sfu/learndevnow-d2d
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users

[Luigi Ballabio]

Hello Dale,
    I guess testCachedValue is just a test that figures don't change
(the behavior is tested in the rest of the suite) so they're probably
whatever values came out the first time the test was run...

Luigi

On Thu, Jan 26, 2012 at 10:08 PM, Smith, Dale <[hidden email]> wrote:
> After reading the source for the capfloor.cpp unit test, I realized there is
> no indication of how the cached values in CapFloorTest::testCachedValue are
> calculated. Ditto for the other hard-coded values in the other methods. Does
> anyone know the source for these calculations? I did a Google search to make
> sure this wasn’t answered already on the mailing list. I can’t find anything
> relevant, so pointers to any previous message threads are appreciated.
>

------------------------------------------------------------------------------
Try before you buy = See our experts in action!
The most comprehensive online learning library for Microsoft developers
is just $99.99! Visual Studio, SharePoint, SQL - plus HTML5, CSS3, MVC3,
Metro Style Apps, more. Free future releases when you subscribe now!
http://p.sf.net/sfu/learndevnow-dev2
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users

[Smith, Dale (Norcross)]

Understood. I'll try to validate against Bloomberg. I'll keep the list
informed.

Thanks,
Dale Smith, Ph.D.
Senior Financial Quantitative Analyst
Risk & Compliance
Fiserv.
107 Technology Park
Norcross, GA 30092
Office: 678-375-5315
Mobile: [phone]
Mail: [hidden email]
www.fiserv.com

-----Original Message-----
From: Luigi Ballabio [mailto:[hidden email]]
Sent: Friday, January 27, 2012 9:26 AM
To: Smith, Dale
Cc: [hidden email]
Subject: Re: [Quantlib-users] Source of cached NPV for caps and floors

Hello Dale,
    I guess testCachedValue is just a test that figures don't change
(the behavior is tested in the rest of the suite) so they're probably
whatever values came out the first time the test was run...

Luigi

On Thu, Jan 26, 2012 at 10:08 PM, Smith, Dale <[hidden email]>
wrote:
> After reading the source for the capfloor.cpp unit test, I realized
> there is no indication of how the cached values in
> CapFloorTest::testCachedValue are calculated. Ditto for the other
> hard-coded values in the other methods. Does anyone know the source
> for these calculations? I did a Google search to make sure this wasn't

> answered already on the mailing list. I can't find anything relevant,
so pointers to any previous message threads are appreciated.
>

------------------------------------------------------------------------------
Try before you buy = See our experts in action!
The most comprehensive online learning library for Microsoft developers
is just $99.99! Visual Studio, SharePoint, SQL - plus HTML5, CSS3, MVC3,
Metro Style Apps, more. Free future releases when you subscribe now!
http://p.sf.net/sfu/learndevnow-dev2
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users