qlOptionletStripper1CapFloorVolatilities convergence

[Lapin]

All,

I have a trouble with qlOptionletStripper1CapFloorVolatilities convergence.
I have the following error message:

qlOptionletStripper1CapFloorVolatilities - convergence not reached after 49 iterations; last improvement 1.76926e-005, required accuracy 1e-012

You can  change the accuracy, the number of steps, the error is still the same.

Has anyone encountered this message already?

Cheers

[Peter Caspers-4]

not in the context of the optionlet strippers directly. The message
probably comes from the yield curve underlying the ibor index entering
the stripper. Maybe you can try to use a local interpolation scheme for
your curve and see if it works then.
with regards
Peter

Am 04.01.2013 15:56, schrieb Lapin:

> All,
>
> I have a trouble with qlOptionletStripper1CapFloorVolatilities convergence.
> I have the following error message:
>
> qlOptionletStripper1CapFloorVolatilities - convergence not reached after 49
> iterations; last improvement 1.76926e-005, required accuracy 1e-012
>
> You can  change the accuracy, the number of steps, the error is still the
> same.
>
> Has anyone encountered this message already?
>
> Cheers
>
>
>
>
> --
> View this message in context: http://quantlib.10058.n7.nabble.com/qlOptionletStripper1CapFloorVolatilities-convergence-tp13861.html
> Sent from the quantlib-users mailing list archive at Nabble.com.
>
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[Lapin]

Thanks I have not thought about the yield curve.

Is there a way to round down values in the calibration process?
By this I mean the following:

Give the low level of rates, short term caps (1Y, 2Y...) with high strikes have a zero value.
When you try to calibtrate the cap/floor vol, you face the issue of negative implied caplet
("qlOptionletStripper1CapFloorVolatilities - could not bootstrap optionlet:
 type:    Put
 strike:  1.500000 %
 atm:     0.414484 %
 price:   0.00552812
 annuity: 0.509262
 expiry:  July 5th, 2013
 error:   negative Call price (-8.67362e-019) implied by put")

but the price is so low (-8.67362e-019) that it fails the calibration while it should consider this value to be 0 and go on....

Thanks

[Luigi Ballabio]

Hi,
    unfortunately, this is an issue of the underlying C++ library.  If
you want to try and fix it, you'll have to modify and recompile that.
The check is in ql/pricingengines/blackformula.cpp; it checks that the
option value is >=0, which you could relax by saying something like
">= -QL_EPSILON" instead.  If you do, let me know if it works for you
and send me the modified file so I can add it to the repository.

Luigi


On Mon, Jan 7, 2013 at 11:10 AM, Lapin <[hidden email]> wrote:

> Thanks I have not thought about the yield curve.
>
> Is there a way to round down values in the calibration process?
> By this I mean the following:
>
> Give the low level of rates, short term caps (1Y, 2Y...) with high strikes
> have a zero value.
> When you try to calibtrate the cap/floor vol, you face the issue of negative
> implied caplet
> ("qlOptionletStripper1CapFloorVolatilities - could not bootstrap optionlet:
>  type:    Put
>  strike:  1.500000 %
>  atm:     0.414484 %
>  price:   0.00552812
>  annuity: 0.509262
>  expiry:  July 5th, 2013
>  error:   negative Call price (-8.67362e-019) implied by put")
>
> but the price is so low (*-8.67362e-019*) that it fails the calibration
> while it should consider this value to be 0 and go on....
>
> Thanks
>
>
>
> --
> View this message in context: http://quantlib.10058.n7.nabble.com/qlOptionletStripper1CapFloorVolatilities-convergence-tp13861p13869.html
> Sent from the quantlib-users mailing list archive at Nabble.com.
>
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> Master Visual Studio, SharePoint, SQL, ASP.NET, C# 2012, HTML5, CSS,
> MVC, Windows 8 Apps, JavaScript and much more. Keep your skills current
> with LearnDevNow - 3,200 step-by-step video tutorials by Microsoft
> MVPs and experts. SALE $99.99 this month only -- learn more at:
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