Goodmorning to everyone,
I have a problem with the qlOptionletStripper1 class in QuantlibXL. I'm trying
to price a Reverse Floater Bond with Cap and Floor for an exam project at my
univeristy. Th eprofessor gave me the deposit and swap rates, cds-spreads and
cap ATM volatilities. The problem arise when I arrive at the point where I need
to bootstrap caplet and floorlet volatilities from cap ATM volatilities. I've
constructed the object qlCapFloorTermVolSurface, with forward rates as strikes
and the volatilities's matrix as inputs. I've constructed the matrix by filling
with zeros outside the diagonal, and with cap ATM volatilities in the diagonal
(I made this because our professor provided us only cap ATM volatilities). Then
I've constructed the object qlOptionletStripper1, with qlCapFloorTermVolSurface
and a qlEuribor object as inputs. qlEuribor is constructed with tenor 6months
and a forward curve (bootstrapped from the zerocurve) as inputs. Finally I use
qlOptionletStripper1CapFloorVolatilities to extract from OptionletStripper1 the
caplet's and floorlet's volatilities. I have this 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
I don't understand why I get this error, at my eyes seems all ok in
construction. First: I don't undestrand why the atm is 2.350979% even if I give
the qlEuribor object with forward curve as forecasting curve in inputs. Second:
why negative Black price? It seems that (t(2) - t(1)) has negative sign...
I've tried all possible things but I don't understand where is the error.
Any kind of help will be appreciated, thanks in advance.
Paolo
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