http://quantlib.414.s1.nabble.com/Re-Quantlib-users-blackvariancecurve-question-used-by-the-LMM-code-tp11020p11023.html
An update on this...
Schedule class.
The convention is then used for the coupon periods.
Thus the capfloor test code is fine.
then the problems that I described before appy.
Toyin Akin.
>From: "Toyin Akin" <
[hidden email]>
>To:
[hidden email]
>CC:
[hidden email]
>Subject: [Quantlib-dev] Re: [Quantlib-users] blackvariancecurve question -
>used by the LMM code...
>Date: Fri, 10 Mar 2006 03:12:27 +0000
>
>
>Hi,
>
>Normally if a client wants to price a 6 year swap from spot, 6 years is
>added onto the spot date (UnAdjusted) and this date is used as a reference
>for computing the period dates.
>
>What is adjusted are the period coupon dates (look at the code within the
>Schedule object).
>
>The point is, the period dates are computed as :
>Adjust(UnAdjustedSwapEndDate - N*Period).
>
>For the final enddate of the final cashflow, this will be
>Adjust(UnAdjustedSwapEndDate).
>For the start date of the final cashflow, this will be
>Adjust(UnAdjustedSwapEndDate - 1*Period).
>etc...
>
>For example, if a client wants to price a 6 year swap from the 17/3/2006,
>the unadjusted end date of the swap will be 17/3/2012 (a sunday). When the
>cashflows are computed 17/3/2012 is used as a reference date and for
>example the last coupon will have dates of (18/12/2011, 18/3/2012).
>
>If the AdjustedSwapEndDate is used in this formula, the dates generated are
>completely different and a client will look at this schedule and think,
>well my swap start on the 17/3/2006 and lasts for 6 years, but why is
>almost all my coupon dates starting and ending on the 18th?
>
>It should be the other way around, almost all the dates should be the 17th,
>but with some being the 18th (give or take a few days).
>
>That's why for swap / cap calculations, you specify an unadjusted endate
>into the schedule class. But an adjustment is used within the coupon class
>itself.
>
>If however you use explicit start and end swap dates and you know that the
>enddate is a non-holiday, it doesn't matter what BusinessdayConvention you
>use.)
>
>Maybe the code within the test-suite/capfloor.cpp should be changed...
>I believe that this is the normal case...
>
>Any thoughts anyone...?
>
>Toyin Akin.
>
>
>>From: Klaus Spanderen <
[hidden email]>
>>Reply-To:
[hidden email]
>>To: "Toyin Akin" <
[hidden email]>
>>CC:
[hidden email]
>>Subject: Re: [Quantlib-users] blackvariancecurve question - used by the
>>LMM code...
>>Date: Thu, 9 Mar 2006 05:39:44 +0100
>>
>>Hi Toyin,
>>
>>On Thursday 09 March 2006 10:29 am, you wrote:
>> > One final point, the Schedule object used within the cashflows()
>>function
>> > of the LMMProcess class... I think that you probably need a
>> > businessdayconvention of UnAdjusted. Otherwise your first cashflow
>>could be
>> > slightly too long. This is because if the end date falls on a weekend,
>>it
>> > will be move onto the newt good business day and thus within the
>>generation
>> > of the coupon dates, the dates will be attached to this modified date.
>>
>>The libor forward process inherits the cashflow schedule from the given
>>index
>>to allow exact pricing of cap(lets) using the lfm process. (see test case
>>LiborMarketModelTest::testCapletPricing() ) and the cashflow schedule for
>>a
>>normal cap/floor is generated in the same way (see
>>test-suite/capfloor.cpp).
>>IMO the cash flow should be rolled over if the end date falls on a weekend
>>but may be I miss the point here.
>>
>>cheers
>> Klaus
>>
>
>
>
>
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