Posted by Peter Caspers-4 on URL: http://quantlib.414.s1.nabble.com/MakeCms-Capped-Rate-tp14976p14981.html
I don't know, but if the issue is still there, shouldn't we better fix
it in the NumericHaganPricer by introducing a hard upper integration
bound at 2 ?
Peter
On 18 February 2014 07:51, Ferdinando M. Ametrano
<[hidden email]> wrote:
> 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
>>
>>
>> ------------------------------------------------------------------------------
>> 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=121054471&iu=/4140/ostg.clktrk >> _______________________________________________
>> QuantLib-dev mailing list
>> [hidden email] >> https://lists.sourceforge.net/lists/listinfo/quantlib-dev