Re: OptionletStripper1 doesn't allow dual-discount.

Posted by Peter Caspers-4 on
URL: http://quantlib.414.s1.nabble.com/OptionletStripper1-doesn-t-allow-dual-discount-tp14038p14042.html

Hi James,

I think this is easy to do (your first wish). Can you try the attached
extended files ?

Thank you
Peter

Am 12.02.2013 17:34, schrieb James Prichard:

> 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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