Re: MakeCms Capped Rate

Posted by Ferdinando M. Ametrano-2 on Feb 18, 2014; 8:54am
URL: http://quantlib.414.s1.nabble.com/MakeCms-Capped-Rate-tp14976p14983.html

Peter,

I am currently not using that code in my day-by-day and have little time to investigate: I'll just trust your judgement.

by the way, thank you for all your contributions in the recent months, you've really stepped your game up

ciao -- Nando

On Tue, Feb 18, 2014 at 9:48 AM, Peter Caspers <[hidden email]> wrote:

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
>>
>>
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