On Sat, 2011-07-23 at 08:49 -0700, adam99 wrote:
> Is there a coverage for American callable floating rate note in Quantlib? I
> am primarily interested in pricing with single factor HW.
We have callable fixed-rate note in <ql/experimental/callablebonds>, but
not floating-rate. If you want to give it a try, you could look at the
way the floating-rate leg is computed in the DiscretizedSwap class
(<ql/pricingengines/swap/discretizedswap.hpp>.) You could do something
similar and add the redemption. A harder problem would be to include
credit risk; you'd probably need two HW trees with the same structure
(one for forecasting, the other including credit for discounting.)
Luigi
--
Hofstadter's Law:
It always takes longer than you expect, even when you take
Hofstadter's Law into account.
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