caplet stripper extrapolation problems

Hello,
I have created correctly an optionlet volatility structure and enabled the
extrapolation as follow

.......
boost::shared_ptr<IborIndex> EuriborIndex6M(new Euribor6M(iYieldTS));
boost::shared_ptr<OptionletStripper1> capletStripper1(new OptionletStripper1
(iCapVolSurface, EuriborIndex6M, Null<Rate>(),
                         1.0e-8));
boost::shared_ptr<OptionletStripper> capletStripper2(new OptionletStripper2
(capletStripper1,iATMCapVolCurve));
boost::shared_ptr<StrippedOptionletAdapter> strippedCapletAdapter(new
StrippedOptionletAdapter(capletStripper2));
Handle<OptionletVolatilityStructure> sigma_caplet(strippedCapletAdapter);
sigma_caplet->enableExtrapolation();

but when I try to compute the caplet vol:
sigma_caplet->volatility(1.05, 0.02)

it returns the followinig error:
time(29.5178) is past max curve time (29.5151)

any suggestion to solve this?

Thanks in advance
Paolo

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[Luigi Ballabio]

Do you have other curves around that the call to volatility() might use?
(e.g., iYieldTS.)  You might want to enable extrapolation on those, too.

Luigi


On Tue, 2010-09-28 at 14:38 +0200, [hidden email] wrote:

> I have created correctly an optionlet volatility structure and enabled the
> extrapolation as follow
>
> .......
> boost::shared_ptr<IborIndex> EuriborIndex6M(new Euribor6M(iYieldTS));
> boost::shared_ptr<OptionletStripper1> capletStripper1(new OptionletStripper1
> (iCapVolSurface, EuriborIndex6M, Null<Rate>(),
> 1.0e-8));
> boost::shared_ptr<OptionletStripper> capletStripper2(new OptionletStripper2
> (capletStripper1,iATMCapVolCurve));
> boost::shared_ptr<StrippedOptionletAdapter> strippedCapletAdapter(new
> StrippedOptionletAdapter(capletStripper2));
> Handle<OptionletVolatilityStructure> sigma_caplet(strippedCapletAdapter);
> sigma_caplet->enableExtrapolation();
>
> but when I try to compute the caplet vol:
> sigma_caplet->volatility(1.05, 0.02)
>
> it returns the followinig error:
> time(29.5178) is past max curve time (29.5151)
>
> any suggestion to solve this?
>
> Thanks in advance
> Paolo
>
> ------------------------------------------------------------------------------
> Start uncovering the many advantages of virtual appliances
> and start using them to simplify application deployment and
> accelerate your shift to cloud computing.
> http://p.sf.net/sfu/novell-sfdev2dev
> _______________________________________________
> QuantLib-users mailing list
> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-users

--

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Never attribute to malice that which is adequately explained
by stupidity.



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