BlackSwaptionEngine
Posted by
Peter Caspers-4 on
Mar 24, 2013; 7:59pm
URL: http://quantlib.414.s1.nabble.com/BlackSwaptionEngine-tp14167.html
Hi,
why is the atm level in line 78 and following computed with the
forwarding and not the discount curve ?
// using the forecasting curve
swap.setPricingEngine(boost::shared_ptr<PricingEngine>(new
DiscountingSwapEngine(swap.iborIndex()->forwardingTermStructure(),
false)));
Rate atmForward = swap.fairRate();
I think in a usual curve setup it would be better to replace
swap.iborIndex()->forwardingTermStructure() by discountCurve_, wouldn't it ?
Thanks a lot
Peter
------------------------------------------------------------------------------
Everyone hates slow websites. So do we.
Make your web apps faster with AppDynamics
Download AppDynamics Lite for free today:
http://p.sf.net/sfu/appdyn_d2d_mar_______________________________________________
QuantLib-dev mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-dev