Posted by
James Prichard on
URL: http://quantlib.414.s1.nabble.com/OptionletStripper1-doesn-t-allow-dual-discount-tp14038.html
Hi QL guys, thanks for nice library.
I am using the CapFloor object's implied vol functionality with a dual-discount
set-up via QuantLibXL and noticed that OptionletStripper1 can't be made to
reproduce the prices since it assumes discounting flat to the index.
MULTI_CURVE ..
Do you foresee building Multi-Curve framework into the Engine or ensuring all
utility functions allow for such an adjustment?
It is not hard to work-around but I think a consistent approach to discounting
would help usability for deterministic cross-currency products as well (put the
xcy-basis into the foreign discount curve, leaving the foreign rate projection
unchanged)
ANOTHER WISH ..
It would also be nice to have scenario based cashflow projections to feed into a
"Counterparty CVA" / "Collateral Cost" / "Funding Replacement Risk" price
adjustment via montecarlo. I notice quaternionrisk.com say they extended
QuantLib and provide such services already but see little other discussion.
-----------
shared_ptr<BlackCapFloorEngine>
dummy(new BlackCapFloorEngine(
iborIndex_->forwardingTermStructure(),0.20, dc
));
for (Size i=0; i<nOptionletTenors_; ++i)
{
CapFloor temp = MakeCapFloor(CapFloor::Cap,
capFloorLengths_[i],
iborIndex_,0.04, // dummy strike
0*Days).withPricingEngine(dummy);
...
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