Goodmorning to everyone,
I have a problem with the forementioned class. I'm doing an university project
for my course study, I have to price a reverse-floater bond with cap and floor.
The problem arise when I try to bootstrap caplet e floorlet volatilities from
cap and floor quoted volatilities. The professor gave us only the Cap ATM
volatilities, and with these data I've constructed the volatility's matrix
(filled by zeros outside the diagonal, and Cap ATM volatilities on the
diagonal). I've constructed the forward curve that I give in input to the
qlEuribor class (6m tenor, forward curve calculated from ZeroCurve 6months by
6months). As strikes for the Caps I use forward rates. I've constructed the
object qlCapFloorTermVolSurface with these datas and I've constructed the object
qlOptionletStripper1 with qlEuribor and qlCapFloorTermVolSurface as inputs. When
I use the object qlOptionletStripper1CapFloorVolatilities to bootstrap caplet
and floorlet volatilities, I have the error:
qlOptionletStripper1CapFloorVolatilities - could not bootstrap optionlet:
type: Put
strike: 1.624853 %
atm: 2.350979 %
price: -0.000369424
annuity: 0.494589
expiry: January 31st, 2012
error: blackPrice (-0.000369424) must be non-negati
Why? Objects seems to be correctly created to my eyes, but there must be
something wrong that I cannot catch. Why atm is 2.350979% even if I use the
forward curve in qlEuribor? Why blackPrice is negative?
I don't know how to solve the problem, every help will be accepted. Thanks in
advance!
Paolo
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