Login  Register

QuantLib-SWIG-1.3: pricing caps with non constant vola?

Posted by Nils Tobias Kramer on Feb 10, 2014; 9:20am
URL: http://quantlib.414.s1.nabble.com/QuantLib-SWIG-1-3-pricing-caps-with-non-constant-vola-tp14952.html

Hi,

I was delving into pricing caps and the only way I could get it to work was using ConstantOptionletVolatility(). This is because I'm using BlackCapFloorEngine() which needs an OptionletVolatiltyStructureHandle() as second argument.

In QuantlibXL I could get it to work: CapFloorTermVolSurface() -> OptionletStripper1() -> StrippedOptioneltAdapter() => OptionletVolatilityStructure().

However using C# I couldn't find any constructors for CapFloorTermVolSurface() or OptionletStripper().
For Surface(), LocalVolTermStructure(), and CapFloorTermVolatilityStructure() I could only find an empty constructor so I'm not sure how to use it and am not sure if these are implemented in SWIG.

The only two volatility term structures I found in C# are CapFloorTermVolCurve() and BlackVarianceSurfac(). But I can't get these things converted to and OptionletVolatiltyStructure().
- Any ideas on how to price a cap with a vola term structure in C#?
- Should I write my own pricer or use an other pricer from Quantlib, namely: analyticcapfloorengine, discretizedcapfloor, mchullwhiteengine or treecapfloorengine?

I searched and searched and searched but could only come up with this: http://quantlib.10058.n7.nabble.com/CapFloor-surfaces-td5575.html. Also http://implementingquantlib.blogspot.com/2014/01/chapter-3-part-7-of-7-interest-rate.html didn't clear things up enough for me to solve my issue.

Any suggestions are welcome.

Have nice week
Toby



------------------------------------------------------------------------------
Managing the Performance of Cloud-Based Applications
Take advantage of what the Cloud has to offer - Avoid Common Pitfalls.
Read the Whitepaper.
http://pubads.g.doubleclick.net/gampad/clk?id=121051231&iu=/4140/ostg.clktrk
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users