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
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