Hi Paolo,
it should work as you expect. Do you have a spreadsheet that
reproduces the problem? I'm not using qlXL, but I might try doing the
same in C++ and see what happens.
Luigi
On Fri, Feb 10, 2012 at 3:53 PM, Paolo Tenconi <
[hidden email]> wrote:
> I'm pricing a swap using qlSwap and all is fine.
> Now I'd like to introduce a cap/floor on the rates implicit in the input
> curve so that, each payment at a generic time "t" is equal to
>
> pay_t = Nominal * delta_t * {max[min(L_t, L_cap), L_floor] - K}
>
> where
>
> L_t it the libor implicit in the curve
> L_cap is the cap to be placed on implicit libor
> L_floor is the floor to be placed on the implicit libor
> K is the swap rate
>
> After having set a volatility=0 in qlIborCouponPricer, I've set into
> qlIborLeg function: Floors=L_floor and Caps=L_cap .
>
> However with the equality L_floor = L_cap I didn't find as a result
> K=L_floor=L_cap as I expected.
>
> Can anyone tell me if is it possibile in qlXL to price a swap with
> cap/floors,
> and if/how Floors and Caps in qlIborLeg can affect the payoff "pay_t"?
>
> Many thanks in advance for any help...
> Paolo
>
>
>
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