On Tue, 2011-02-22 at 01:10 -0800, archlight wrote:
> I am currently replicating cms caps with payer swaptions. I have built
> series of swaptions. How do I price cms caps? I simply replace iborleg in
> capfloor unit testing code with cmsleg. but it is not working.
>
> Leg makeLeg(const Date& startDate, Integer length) {
> return CmsLeg(schedule, swapIndex)
> ........
> }
> is it right direction I am working torwards?
It's the right direction, but you'll need to change at least the coupon
pricer, too. See test-suite/cms.cpp for examples.
Luigi
--
All generalizations are dangerous, even this one.
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