sorry, optionletstirpper.hpp had a bug, here is the corrected version.
Peter
-------- Original-Nachricht --------
Betreff: Re: [Quantlib-users] OptionletStripper1 doesn't allow dual-discount. Datum: Sat, 16 Feb 2013 19:08:12 +0100 Von: Peter Caspers [hidden email] An: James Prichard [hidden email] Kopie (CC): [hidden email]
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); > ... > > > ------------------------------------------------------------------------------ > Free Next-Gen Firewall Hardware Offer > Buy your Sophos next-gen firewall before the end March 2013 > and get the hardware for free! Learn more. > http://p.sf.net/sfu/sophos-d2d-feb > _______________________________________________ > QuantLib-users mailing list > [hidden email] > https://lists.sourceforge.net/lists/listinfo/quantlib-users
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