annuity in conundrumpricer

classic Classic list List threaded Threaded
1 message Options
Reply | Threaded
Open this post in threaded view
|

annuity in conundrumpricer

Peter Caspers-4
Hi all,

I think we should rathher use

            static const Spread bp = 1.0e-4;
            annuity_ = std::fabs(swap->fixedLegBPS()/bp);

instead of

            static const Spread bp = 1.0e-4;
            annuity_ = (swap->floatingLegBPS()/bp);

in conundrumpricer.cpp, lines 106 / 107, shouldn't we ? However, this
change breaks the test suite as follows

Testing Hagan-pricer flat-vol equivalence for swaps...
cms.cpp(386): fatal error in "QuantLib::detail::quantlib_test_case(&CmsTest::testCmsSwap)":
Length in Years:  10
swap index:       EuriborSwapIsdaFixA10Y Actual/360
ibor index:       Euribor6M Actual/360
spread:           0.000000 %
YieldCurve Model: ExactYield
Numerical Pricer: -1.562514 %
Analytic Pricer:  -1.548953 %
difference:       0.013561 %
tolerance:        0.010000 %

so we would have to increase the tolerance. Maybe I am also not seeing
what is going on here. Can anybody help ?

Thank you
   Peter


------------------------------------------------------------------------------
This SF.net email is sponsored by Windows:

Build for Windows Store.

http://p.sf.net/sfu/windows-dev2dev
_______________________________________________
QuantLib-dev mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-dev