Re: MakeCms Capped Rate

Posted by Ferdinando M. Ametrano-2 on Feb 18, 2014; 6:51am
URL: http://quantlib.414.s1.nabble.com/MakeCms-Capped-Rate-tp14976p14978.html

Mmm... I seem to remember something about the only existing model at the time having issues on integrating the smile up to infinitum.
Is this not the case anymore?

On Feb 17, 2014 8:36 PM, "Peter Caspers" <[hidden email]> wrote:

Hi,

is there a reason that the standard cms swaps constructed with MakeCms
have a capped rate
at 200% ?

https://github.com/lballabio/quantlib/blob/master/QuantLib/ql/instruments/makecms.cpp#L43

If no one objects I would like to send a pull request to remove the
cap. This might impact results
in existing code though, so I thought I better ask here.

Thank you
Peter

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