Subject : [Quantlib-users] Question on Caps/Floors pricing on InArrear =
cashflows.
>
> Hi all,
>
> Within Quantlib you can cr=
eate an array of cashflows which can then be
> passed into the CapFloor=
constructor.
>
> My question is whether the pricing logic within the =
CapFloor class is
> correct for InArrear cashflows?
>
> The CapFloor=
class takes as it's exercise date for all the
> caplet's/floorlet's th=
e fixing date of the coupon.
>
> Under a UpFrontIndexedCoupon this wou=
ld be settleDays before the start date
> of the period.
> Under an Ina=
rrearindexedcoupon this would be settleDays before the end date
> of th=
e period.
>
> Thus when pricing a caplet/floorlet which is based on an=
> Inarrearindexedcoupon, should the
> exercise date still be settleDa=
ys before the start date of the period?
>
> My guess is that the exerc=
ise date should be settleDays before the start
> date of the period.=0D
=
>
> Best Regards,
> Toyin Akin.
>
>
>
>
> -------------------=
------------------------------------
> This SF.Net email is sponsored by=
:
> Power Architecture Resource Center: Free content, downloads, discuss=
ions,
> and more.
http://solutions.newsforge.com/ibmarch.tmpl> _______=
________________________________________
> Quantlib-users mailing list=0D
=
>
[hidden email]
>
https://lists.sourceforge.net/l=ists/listinfo/quantlib-users
>
Locked
